DO NOT ANSWER IN EXCEL PLEASE, THIS IS PAPER TEST

Question 5. Answer all parts I. Consider the following information about the performance of two fund managers during 2014 ManagerA Manager B Market index 9.50% 150% 18.57% Return 15.60% 24% 21.00% 0.8 Standard deviation of return Beta The risk-free rate of interest was 3% (a) Calculate the Sharpe ratio for both managers' funds and the market index. [6 marks] (b) Calculate the Treynor measure for both managers' funds and the market index. [6 marks] (c) According to the M2 measure, explain whether or not both managers outperform the market [6 marks] ll. Over the past three years, using monthly data, the return on a fund has been 13.5% per annum. I he benchmark return over this period was 15% and the standard deviation of the surplus was 8%. What is the information ratio for this fund? [2 marks] III. Critically analyse the main characteristics of the Jensen performance measure. [6 marks] IV. You are giventhe following information on the performance of a fund and on the market Return on the portfolio rp-69%, total risk of the portfolio 'p-20%, beta of the portfolio p- 0.8, return on the market rm-40%, total risk of the market m 14%, and the risk-free rate of interest r -8%. The client desired beta is given as e_ 0.6. Decompose the portfolio's total return identifying the sources of the fund manager's performance [11 marks] V. Consider an equity portfolio, which had a value of 283.1m at the beginning of April 2015 A further 2.7m was deposited into the portfolio halfway through the month i.e. on April 15th). By the end of the month, the portfolio was valued at 91.71m (a) Calculate the 'unadjusted' return on the portfolio for the month (b) Estimate the money-weighted rate of return on the portfolio for the month. [5 marks] (c) If the portfolio was valued at 84.5m immediately before the 2.7m deposit was made on April 15th, calculate the time-weighted rate of return for the month [3 marks] [5 marks]