Question

The ABC Fund, the Karachi Stock Exchange and T-Bills have had the following returns over the past 5 years:

Year                T-bill                           KSE                            ABC Fund

                                    Returns %                 Return%                    Return%

            2011                10                                10                                14

            2012                18                                - 8                                - 10

            2013                14                                20                                26

            2014                12                                18                                22

            2015                16                                24                                30

                                                                                                                       

Required;

1. Determine the Fund’s beta coefficient for the 5 year period of time.
2. Determine the Fund’s alpha coefficient for the 5 year.
3. Comments the Fund performance in relation to the market returns.
4. Correlation coefficient between fund and stock.
5. Systematic risk and unsystematic risk.
6. Average return from funds and market.

Answer 1