The following data are available relating to the performance of Wildcat Fund and the market portfolio:...
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The following data are available relating to the performance of Wildcat Fund and the market portfolio: Wildcat 18% 25% 1.25 2% Market Portfolio 15% 20% 1.00 0% Average Return Standard Deviation of Returns Beta Residual Standard Deviation The risk-free return during the sample period was 7%. a) Calculate Sharpe's measure of performance for Wildcat Fund. (3 marks) b) Calculate Treynor's measure of performance for Wildcat Fund. (3 marks) c) Calculate Jensen's measure of performance for Wildcat Fund. (3 marks) d) Assuming that the Wildcat fund is well diversified; which performance measure is best? Why? (6 marks) The following data are available relating to the performance of Wildcat Fund and the market portfolio: Wildcat 18% 25% 1.25 2% Market Portfolio 15% 20% 1.00 0% Average Return Standard Deviation of Returns Beta Residual Standard Deviation The risk-free return during the sample period was 7%. a) Calculate Sharpe's measure of performance for Wildcat Fund. (3 marks) b) Calculate Treynor's measure of performance for Wildcat Fund. (3 marks) c) Calculate Jensen's measure of performance for Wildcat Fund. (3 marks) d) Assuming that the Wildcat fund is well diversified; which performance measure is best? Why? (6 marks)
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Sharpes measure of performance for Wildcat Sharpes Ratio of Wildcat Wildcat Average R... View the full answer
Related Book For
An Introduction To Statistical Methods And Data Analysis
ISBN: 9781305465527
7th Edition
Authors: R. Lyman Ott, Micheal T. Longnecker
Posted Date:
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