You have been asked to analyze the performance of an equity portfolio which is measured against...
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You have been asked to analyze the performance of an equity portfolio which is measured against a leading equity benchmark. A summary of the statistics provided for the portfolio are shown in the table below. the nsk-free rate is 0.5% Return% Volatility Tracking error% Bete RP 13.2 12.8 6.8 1.0 RB (Benchmark Return) 11.8 9.0 a) Calculate Jensen's alpha for the fund and comment on the fund manager's performance. b) Interpret the tracking error of the portfolio c) Calculate the Sharpe ratio at the portfolio and comment on whether you think this is a good ratio d) Calculate the information ratio of the portfolio and comment on whether you think this a good ratio You have been asked to analyze the performance of an equity portfolio which is measured against a leading equity benchmark. A summary of the statistics provided for the portfolio are shown in the table below. the nsk-free rate is 0.5% Return% Volatility Tracking error% Bete RP 13.2 12.8 6.8 1.0 RB (Benchmark Return) 11.8 9.0 a) Calculate Jensen's alpha for the fund and comment on the fund manager's performance. b) Interpret the tracking error of the portfolio c) Calculate the Sharpe ratio at the portfolio and comment on whether you think this is a good ratio d) Calculate the information ratio of the portfolio and comment on whether you think this a good ratio
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Answer rating: 100% (QA)
To answer your questions lets go through each one a Jensens alpha is a measure of the excess return of a portfolio over its expected return given its level of risk It is calculated using the formula J... View the full answer
Related Book For
Fundamentals of Financial Accounting
ISBN: 978-0078025914
5th edition
Authors: Fred Phillips, Robert Libby, Patricia Libby
Posted Date:
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