Question 5 (25 marks) The table below illustrates the performance of returns of three (3) funds...
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Question 5 (25 marks) The table below illustrates the performance of returns of three (3) funds managed by three (3) different fund managers. The funds are Eastspring Investment Dinasty Equity fund (EIDF), Eastspring Investment Japan Dynamic MY-AUD Hedged (EIJD) and Kenanga Growth fund (KGF). As an amateur investor who are looking to diversify my risk, I planned to combine one of these funds into my existing portfolio. For convenience, the benchmark indices for each of these funds: DJ Islamic Market Greater China Index, MSCI Japan JPY Index and Kuala Lumpur Composite Index, the Malaysian 3-months treasury bills rate are also provided. Given that the Beta for the EIDF, EIJD, KGF are 0.75, 0.9923 and 0.9532 respectively, advise on which fund has been performing better or worse than others and suggest a fund I should select considering the current economic condition. Identify the possible strategy these managers have performed (passive or active) over their period of investment. Date REIDF RDJIMGCI 0.005 9/4/2020 14/4/2020 0.014 15/4/2020 0.002 16/4/2020 0.010 17/4/2020 0.013 20/4/2020 0.002 21/4/2020 -0.017 22/4/2020 0.005 23/4/2020 -0.003 24/4/2020 -0.006 27/4/2020 0.017 28/4/2020 0.002 30/4/2020 -0.003 REIJD RMJJ RKGF RKLCI 0.041 -0.006 0.007 0.008 0.006 0.017 -0.003 0.012 0.002 0.001 0.002 0.011 0.012 -0.001 0.015 0.003 -0.025 0.006 -0.016 0.011 0.024 0.004 0.008 -0.009 -0.022 0.012 -0.018 -0.001 0.004 -0.019 -0.013 -0.020 -0.022 -0.006 0.004 0.028 0.013 -0.005 -0.013 0.010 0.018 0.020 0.000 -0.007 -0.004 -0.004 -0.005 0.017 0.032 0.020 0.002 0.002 0.011 0.000 -0.002 0.013 0.010 0.011 0.027 The Treynor ratio Jensen Alpha State the conclusion from your findings 0.000 0.000 -0.009 0.000 0.001 0.026 To assist me in making the right decision, present the performances of the funds using: (a) The Sharpe ratio (b) (c) (d) (15 marks) (3 marks) (3 marks) (4 marks) Question 5 (25 marks) The table below illustrates the performance of returns of three (3) funds managed by three (3) different fund managers. The funds are Eastspring Investment Dinasty Equity fund (EIDF), Eastspring Investment Japan Dynamic MY-AUD Hedged (EIJD) and Kenanga Growth fund (KGF). As an amateur investor who are looking to diversify my risk, I planned to combine one of these funds into my existing portfolio. For convenience, the benchmark indices for each of these funds: DJ Islamic Market Greater China Index, MSCI Japan JPY Index and Kuala Lumpur Composite Index, the Malaysian 3-months treasury bills rate are also provided. Given that the Beta for the EIDF, EIJD, KGF are 0.75, 0.9923 and 0.9532 respectively, advise on which fund has been performing better or worse than others and suggest a fund I should select considering the current economic condition. Identify the possible strategy these managers have performed (passive or active) over their period of investment. Date REIDF RDJIMGCI 0.005 9/4/2020 14/4/2020 0.014 15/4/2020 0.002 16/4/2020 0.010 17/4/2020 0.013 20/4/2020 0.002 21/4/2020 -0.017 22/4/2020 0.005 23/4/2020 -0.003 24/4/2020 -0.006 27/4/2020 0.017 28/4/2020 0.002 30/4/2020 -0.003 REIJD RMJJ RKGF RKLCI 0.041 -0.006 0.007 0.008 0.006 0.017 -0.003 0.012 0.002 0.001 0.002 0.011 0.012 -0.001 0.015 0.003 -0.025 0.006 -0.016 0.011 0.024 0.004 0.008 -0.009 -0.022 0.012 -0.018 -0.001 0.004 -0.019 -0.013 -0.020 -0.022 -0.006 0.004 0.028 0.013 -0.005 -0.013 0.010 0.018 0.020 0.000 -0.007 -0.004 -0.004 -0.005 0.017 0.032 0.020 0.002 0.002 0.011 0.000 -0.002 0.013 0.010 0.011 0.027 The Treynor ratio Jensen Alpha State the conclusion from your findings 0.000 0.000 -0.009 0.000 0.001 0.026 To assist me in making the right decision, present the performances of the funds using: (a) The Sharpe ratio (b) (c) (d) (15 marks) (3 marks) (3 marks) (4 marks)
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To analyze the performance of the three funds and assist you in making an informed decision we will calculate the Sharpe ratio Treynor ratio and Jensen Alpha for each fund based on the provided data a ... View the full answer
Related Book For
College Algebra Graphs and Models
ISBN: 978-0321845405
5th edition
Authors: Marvin L. Bittinger, Judith A. Beecher, David J. Ellenbogen, Judith A. Penna
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