The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Return Benchmark Return 22% 23% 25% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 28% 28% 29% 20% 18% 15% 13% 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Risk-free rate 2% 2% 2% 2% 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? 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: Fund Return Benchmark Return 22% 23% 25% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 28% 28% 29% 20% 18% 15% 13% 19% 20% 22% 23% 22% 22% 18% 16% 13% 12% Risk-free rate 2% 2% 2% 2% 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? 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...

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