Question: The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return

The following data is reported for a fund and an appropriate benchmark

as well as the risk-free rate each year: Fund Return Benchmark Return

12% 15% 15% 12% 16% 13% 19% 14% 20% 14% 22% 15%

The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return 12% 15% 15% 12% 16% 13% 19% 14% 20% 14% 22% 15% 26% 24% 24% 22% 21% 19% 19% 18% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Risk-free rate 2% 2% N N N N N N N N 2% 2% 2% 2% 2% 2% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? Required A Required B What is the Sharpe ratio Fund Benchmark Sharpe Ratio Re Required A What is the Treynor ratio Fund Required B Benchmark Require Treynor Ratio % %

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