Problem 23-7The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year:BenchmarkRisk-freeFundReturnReturnrate14%11%2%15%12%17%14%20%15%20%14%22%15%14%13%Year 1Year 2Year 3Year 4Year 5Year 6Year 7Year 8Year 9Year 1011%10%12%11%9%9%c. What is the fund tracking error?d. What is the beta for the fund?e. What is Jensen's alpha for the fund?Required A2%2%2%2%2%2%2%Required:a. What is the Sharpe ratio for the fund and the benchmark?b. What is the Treynor ratio for the fund and the benchmark?2%2%Complete this question by entering your answers in the tabs below.Required B Required CWhat is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to2 decimal places.)Required D Required E

The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Return Benchmark Return rate 14% 11% 2% 15% 12% 2% 14% 2% 15% 2% 14% 2% 15% 2% 12% 2% 11% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 17% 20% 20% 22% 14% 13% 11% 10% 9% 9% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund?

The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Fund Return Benchmark Return rate 14% 11% 2% 15% 12% 2% 14% 2% 15% 2% 14% 2% 15% 2% 12% 2% 11% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 17% 20% 20% 22% 14% 13% 11% 10% 9% 9% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund?

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter3: Data Visualization

Section: Chapter Questions

Problem 6P: The file MutualFunds contains a data set with information for 45 mutual funds that are part of the...

See similar textbooks

Similar questions

Problem 23-7 The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Risk-free Benchmark Return rate 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 Fund Return 11% Required A 12% 27% 30% 30% 31% 22% 20% 17% 15% Fund Benchmark 8% 9% Required B 24% 25% 24% 24% 20% 18% 15% 14% Sharpe Ratio 2% ********* Required C 2% 2% 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? 2% Complete this question by entering your answers in the tabs below. 2% 2% 2% What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to 2 decimal places.) Required D Required E
Problem 17-06 The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a net asset value (NAV) of $16.00. During the year the fund distributed $1.25, and at the end of the year its NAV was $17.55. What was the fund's return, and what was an investor's return? Round your answers to two decimal places. The fund's return: 17.50 purchase price % Return on the individual's investment: Why are they different? The answers are different because the fund reports its return based on the net asset value ✓ % and the investrors calculate their return based on the
elook Problem 17-06 The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a net asset value (NAV) of $17.00. During the year the fund distributed $1.05, and at the end of the year its NAV was $18.40. What was the fund's return, and what was an investor's return? Round your answers to two dedimal places. The fund's return: Return on the individual's investment: Why are they different? The answers are different because the fund reports its return based on the salact- v and the investrors calculate their return based on the -Select
Problem 23-2 A closed-end, commingled opportunity fund is being created with an expected three-year life. It expects to acquire properties that it expects to turnaround and sell at the end of three years for a gain. It also plans a minimum target return of 10 percent to investors, which will be based on cash distributions from operations and from the sale of properties at the end of the life of the fund. The opportunity fund manager expects to receive a promote equal to 25 percent of cash flows remaining after sale of the assets and after equity investors receive their minimum 10 percent target return. Cash flows are expected as follows: Year 0 Year 1 Year 2 Year 3 Equity Investment $3,000,000 Cash Distributions from Operations to Equity Investors (After Management Fees) Required A $ 100,000 100,000 100,000 Required: a What must be the cash flows to equity investors at the end of year 3 in order to achieve their total target 10 percent return on equity Expected Sale Proceeds…
Problem 6-09 As chief investment officer of a small endowment fund, you are considering expanding the fund's strategic asset allocation from just common stock (CS) and fixed-income (FI) to include private real estate partnerships (PR) as well: Current Allocation: 70 percent of Asset CS, 30 percent of Asset FI Proposed Allocation: 60 percent of Asset CS, 20 percent of Asset FI, 20 percent of Asset PR You also consider the following historical data for the three risky asset classes (CS, FI, and PR) and the risk-free rate (RFR) over a recent investment period: ry: Asset Class E(R) CS FI PR CS 8.3% 14.0% 1.0 FI 5.5 7.7 0.3 1.0 PR RFR 7.5 2.7 12.2 0.5 0.1 1.0 You have already determined that the expected return and standard deviation for the Current Allocation are: E(Rcurrent) = 7.46 percent and current = 10.722 percent. a. Calculate the expected return for the Proposed Allocation. Round your answer to two decimal places. % b. Calculate the standard deviation for the Proposed Allocation. Do…
Problem 18-09 For each of the last six quarters, Managers L and M have provided you with the total dollar value of the funds they manage, along with the quarterly contributions or withdrawals made by their clients. (Note: Contributions are indicated by positive numbers, withdrawels by negative numbers.) Quarter Initial 1 2 3 4 MANAGER L Total Funds Under Management $487,000 503,000 545,000 531,000 $55,000 590,000 Contributions/ Withdrawals 11,000 9,500 16,500 4,500 for each mariage calculate aher money weighted retur. Do not round intermediate calculations. Round your answers to two decimal places Honeywighed return (Hanager ) 2 13,000 Honeyweighted reture (Manager M her time weighted return. Do not round intermediate calculations. Round your answers to two decimal places Time weighted return (Manager 13 4 MANAGER M 5 % 46 % Total Funds Under Management $600,000 093,000 655,000 630,000 611,000 624,000 Contributions/ withdrawals Time weighted return (Manager M) estimates of her…
Question 6 of 14 Brandon's investment of $81,200.00 in a fund matured to $174,488.62 in 8 years. If the interest in the fund is compounded monthly, calculate the following rounded to two decimal places. a. Periodic interest rate (1) (i) % b. Nominal interest rate の G) %
Using the sinking fund Table 13.3, complete the following: (Do not round intermediate calculations. Round your answer to the nearest cent.) Frequency of payment Payment amount end of each Required Interest Length of time amount rate period $ 25.400 Quarterly 5 years 8%
Question 8 Over the first 9 months of 2021, FNBA performed extremely well versus BAA regarding Yield on earning assets O Non-interest income Cost of funding earning assets
Questions Question 8 of 10 qutstivin I 12) On August 1st, 2013, Joseph invested $18,000 in a fund that was growing at 4% compounded quarterly. O Question 2 (2) Question 3 (2) Question 4 (2) a. Calculate the future value of the fund on March 22nd, 2014. O Question 5 (1) O Question 6 (2) Round to the nearest cent O Question 7 (3) O Question 8 (2) b. On March 22nd, 2014, the interest rate on the fund changed to 6% compounded monthly. Calculate the future value of the fund on February 4th, 2015. O Question 9 (4) O Question 10 (4)
Question A Franklin’s investment fund had a balance of $290,000 on January 1, 1995 and a balance of $448,000 two years later. The amount of interest earned during the two years was $34,000, and the annual yield rate on the fund was 5.4%. Estimate the (dollar-weighted) average date of contributions to the account. Answer: September 26, 1996 Full explain this question and text typing work only We should answer our question within 2 hours takes more time then we will reduce Rating Dont ignore this line
Question 9 of 20 View Policies Actual return on plan assets Amortization of net gain Amortization of prior service cost due to increase in benefits Expected return on plan assets Interest on projected benefit obligation Service cost Pension expense for 2022 is O $1923200. O $1891900. O $1168600. O $1614000. $336900 134700 241400 368200 580100 1295400