EBK INVESTMENTS
11th Edition
ISBN: 9781259357480
Author: Bodie
Publisher: MCGRAW HILL BOOK COMPANY
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Question
Chapter 24, Problem 14CP
A
Summary Introduction
To calculate: Sharpe ratio and Treynor ratio for Williamson capital and Joyner asset management.
Introduction: Sharpe ratio is calculated the risk management with respect to the total risk in portfolio. It is called as reward to volatile ratio. Treynor ratio measures the portfolio risk premium where it is difference of return and risk free rate.
B
Summary Introduction
To explain: Criteria of different rankings from the treynor ratio and Sharpe ratio.
Introduction: Different rankings are occurred due to the clashing of the both values. The value is depending on the value of beta and standard deviation.
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Primo Management Company is looking at how best to evaluate the performance of its managers. Primo has been hearing more and more about benchmark portfolios and is interested in trying this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the managers on the best methods for constructing a benchmark portfolio, how to choose the best benchmark, whether the style of the fund under management matters, and what they should do with their global funds in terms of benchmarking.
For the sake of discussion, Jones put together some comparative two-year performance numbers that relate to Primo’s current domestic funds under management and a potential benchmark.
Style Category
Weight
Return
Primo
Benchmark
Primo
Benchmark
Large-cap growth
0.60
0.50
17%
16%
Mid-cap growth
0.15
0.40
24
26
Small-cap growth
0.25
0.10
20
18
As part of her analysis, Jones also takes a look at one of Primo’s global funds. In this particular portfolio, Primo is invested…
Primo Management Co. is looking at how best to evaluate the performance of its managers.
Primo has been hearing more and more about benchmark portfolios and is interested in trying
this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the
managers on the best methods for constructing a benchmark portfolio, how to choose the best
benchmark, whether the style of the fund under management matters, and what they should do
with their global funds in terms of benchmarking.
For the sake of discussion, Jones put together some comparative 2-year performance numbers
that relate to Primo's current domestic funds under management and a potential benchmark.
Style Category
weight of
Primo
Large-cap
growth
Mid-cap growth 0.15
Small-cap
growth
0.60
0.25
weight of
Benchmark
0.50
0.40
0.10
return of Primo return of Benchmark
(%)
(%)
17
23
19
14
26
17
Calculate the contribution to performance of the pure sector allocation. Round your answer to
two decimal place. Do not…
Primo Management Company is looking at how best to evaluate the performance of its managers. Primo has been hearing more and more about benchmark portfolios and is interested in trying this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the managers on the best methods for constructing a benchmark portfolio, how to choose the best benchmark, whether the style of the fund under management matters, and what they should do with their global funds in terms of benchmarking.
For the sake of discussion, Jones put together some comparative two-year performance numbers that relate to Primo’s current domestic funds under management and a potential benchmark.
Style Category
Weight
Return
Primo
Benchmark
Primo
Benchmark
Large-cap growth
0.60
0.50
17%
16%
Mid-cap growth
0.15
0.40
24
26
Small-cap growth
0.25
0.10
20
18
As part of her analysis, Jones also takes a look at one of Primo’s global funds. In this particular portfolio, Primo is invested…
Chapter 24 Solutions
EBK INVESTMENTS
Ch. 24 - Prob. 1PSCh. 24 - Prob. 2PSCh. 24 - Prob. 3PSCh. 24 - Prob. 4PSCh. 24 - Prob. 5PSCh. 24 - Prob. 6PSCh. 24 - Prob. 7PSCh. 24 - Prob. 8PSCh. 24 - Prob. 9PSCh. 24 - Prob. 10PS
Ch. 24 - Prob. 11PSCh. 24 - Prob. 12PSCh. 24 - Prob. 13PSCh. 24 - Prob. 14PSCh. 24 - Prob. 15PSCh. 24 - Prob. 16PSCh. 24 - Prob. 17PSCh. 24 - Prob. 18PSCh. 24 - Prob. 19PSCh. 24 - Prob. 20PSCh. 24 - Prob. 21PSCh. 24 - Prob. 22PSCh. 24 - Prob. 1CPCh. 24 - Prob. 2CPCh. 24 - Prob. 3CPCh. 24 - Prob. 4CPCh. 24 - Prob. 5CPCh. 24 - Prob. 6CPCh. 24 - Prob. 7CPCh. 24 - Prob. 8CPCh. 24 - Prob. 9CPCh. 24 - Prob. 10CPCh. 24 - Prob. 11CPCh. 24 - Prob. 12CPCh. 24 - Prob. 13CPCh. 24 - Prob. 14CP
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