Question
In: Finance
You have been given the following return information for two mutual funds (Papa and Mama), the...
- You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate. (25 points)
|
Year |
Papa Fund |
Mama Fund |
Market |
Risk-Free |
|
2015 |
-12.6% |
-22.6% |
-24.5% |
1% |
|
2016 |
25.4 |
18.5 |
19.5 |
3 |
|
2017 |
8.5 |
9.2 |
9.4 |
2 |
|
2018 |
15.5 |
8.5 |
7.6 |
4 |
|
2019 |
2.6 |
-1.2 |
-2.2 |
2 |
- What is the Sharpe ratio for both fund? (4 points)
- What is the Treynor ratio for both fund? (4 points)
- What is the Jensen’s alpha for both fund? (4 points)
- What is the information ratio for both fund? (4 points)
- What is R-squared for both fund? (4 points)
- Which is the best choice for your portfolio? (5 points)
Solutions
Expert Solution
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jeff jeffy answered 2 years agoRelated Solutions
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
.95.
Year
Fund
Market
Risk-Free
2015
−23.00
%
−43.50
%
3
%
2016
25.10
21.40
5
2017
14.30
15.10
2
2018
6.80
8.80
6
2019
−2.34
−5.20
2
Calculate Jensen’s alpha for the fund, as well as its
information ratio. (Do not round intermediate calculations.
Enter the...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
0.91.
Year
Fund
Market
Risk-Free
2011
–17.00
%
–33.50
%
2
%
2012
25.10
20.40
6
2013
13.30
12.10
2
2014
6.40
8.00
5
2015
–1.74
–3.20
3
Calculate Jensen’s alpha for the fund, as well as its
information ratio. (Do not round intermediate calculations.
Enter the...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
.95. Year Fund Market Risk-Free 2015 −23.00 % −43.50 % 3 % 2016
25.10 21.40 5 2017 14.30 15.10 2 2018 6.80 8.80 6 2019 −2.34 −5.20
2 Calculate Jensen’s alpha for the fund, as well as its information
ratio. (Do not round intermediate calculations. Enter the...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
.97. Year Fund Market Risk-Free 2015 −18.2 % −35.5 % 2 % 2016 25.1
20.6 5 2017 13.5 12.7 2 2018 6.8 8.4 6 2019 −1.86 −4.2 3 What are
the Sharpe and Treynor ratios for the fund? (Do not round
intermediate calculations. Round your answers to...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
0.97.
Year
Fund
Market
Risk-Free
2011
–18.8
%
–36.5
%
1
%
2012
25.1
20.7
6
2013
13.6
13.0
2
2014
7.0
8.4
6
2015
–1.92
–4.2
2
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
0.97.
Year
Fund
Market
Risk-Free
2011
–15.20
%
–30.50
%
3
%
2012
25.10
20.10
4
2013
13.00
11.20
2
2014
7.40
8.00
5
2015
–1.56
–3.20
2
Calculate Jensen’s alpha for the fund, as well as its
information ratio. (Do not round intermediate calculations.
Enter the...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
.97.
Year
Fund
Market
Risk-Free
2015
-16.4%
-32.5%
3%
2016
25.1
20.3
4
2017
13.2
11.8
2
2018
6.2
8.0
5
2019
-1.68
-3.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to 4
decimal places.)...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
.97.
Year
Fund
Market
Risk-Free
2015
−15.2
%
−30.5
%
3
%
2016
25.1
20.1
4
2017
13.0
11.2
2
2018
7.4
8.0
5
2019
−1.56
−3.2
2
What are the Sharpe and Treynor ratios for the fund?
Sharpe=
Treynor=
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
0.89.
Year
Fund
Market
Risk-Free
2011
–21.20
%
–40.50
%
2
%
2012
25.10
21.10
4
2013
14.00
14.20
2
2014
6.20
8.80
4
2015
–2.16
–5.20
3
Calculate Jensen’s alpha for the fund, as well as its
information ratio. (Do not round intermediate calculations.
Enter the...
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a
mutual fund, the market index, and the risk-free rate. You also
know that the return correlation between the fund and the market is
0.97.
Year
Fund
Market
Risk-Free
2011
–17.6
%
–34.5
%
2
%
2012
25.1
20.5
4
2013
13.4
12.4
2
2014
6.6
8.4
5
2015
–1.8
–4.2
3
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...
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