The following data relates to the portfolios of a fund's two equity managers Total Return Beta...

 

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The following data relates to the portfolios of a fund's two equity managers Total Return Beta Manager A Manager B S&P 500 Lehman 91 day Treasury bills Calculate and compare the risk-adjusted performance of the two managers relative to each other and to the S&P 500. 24% 30.0 % 21.0 31.0 12.0 1.0 1.5 Explain the reasons why the conclusions drawn from this calculation may be misleading. The following data relates to the portfolios of a fund's two equity managers Total Return Beta Manager A Manager B S&P 500 Lehman 91 day Treasury bills Calculate and compare the risk-adjusted performance of the two managers relative to each other and to the S&P 500. 24% 30.0 % 21.0 31.0 12.0 1.0 1.5 Explain the reasons why the conclusions drawn from this calculation may be misleading.

Answer rating: 100% (QA)

SOLUTION 1 Calculate Alpha for each manager Manager A Alpha Return Risk free rate Beta Market return ... View the full answer