You are thinking about investing in one of the two mutual funds, MassMutual and Vanguard. You have
Question:
You are thinking about investing in one of the two mutual funds, MassMutual and Vanguard. You have obtained the following information based on their performance over the last five years. Of course, you can always have the alternative option of investing in the S&P 500 index instead of all funds. The T-bill rate is averaged 5% in the last 5 years.
MassMutual VanguardS&P500 Index
Average Return30%25%15%
Beta21.81
Standard Deviation 28%18%13%
Calculate the following performance measure for MassMutual, Vanguard, and the Index:
Sharpe measure, Jensen measure, and Treynor measure. By each of the three measures, did MassMutual or Vanguard outperform the market index?
2) Calculate the M2 measure of MassMutual and Vanguard using the market index as a benchmark (i.e. set standard deviation to market level).
3) Calculate the T2 measure of MassMutual and Vanguard using the market index as a benchmark (i.e. set beta to market level).
4) Calculate the M2 measure of MassMutual using Vanguard as a benchmark (i.e. set standard deviation of MassMutual to Vanguard level).
5) Calculate the T2 measure of Vanguard using MassMutual as a benchmark (i.e. set beta of Vanguard to MassMutual level)
Analyzing Data And Making Decisions Statistics For Business Microsoft Excel 2010 Updated
ISBN: 9780132924962
2nd Edition
Authors: Judith Skuce