The following data is reported for a fund and an appropriate benchmark as well as the...
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The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Benchmark Return Return rate Year 1 13% 10% 2% Year 2 10% 10% 2% Year 3 15% 12% 2% Year 4 19% 14% 2% Year 5 32% 26% 2% Year 6 33% 26% 2% Year 7 24% 22% 2% Year 8 22% 20% 2% Year 9. 19% 17% 2% Year 10 17% 16% 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? The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Benchmark Return Return rate Year 1 13% 10% 2% Year 2 10% 10% 2% Year 3 15% 12% 2% Year 4 19% 14% 2% Year 5 32% 26% 2% Year 6 33% 26% 2% Year 7 24% 22% 2% Year 8 22% 20% 2% Year 9. 19% 17% 2% Year 10 17% 16% 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?
Expert Answer:
Answer rating: 100% (QA)
a The Sharpe ration measures the excess return per unit of risk its calculate by subtracting the ris... View the full answer
Related Book For
Quantitative Analysis for Management
ISBN: 978-0132149112
11th Edition
Authors: Barry render, Ralph m. stair, Michael e. Hanna
Posted Date:
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