Question

2. Using the information on three mutual funds provided in the following table, calculate the Treynor...

2. Using the information on three mutual funds provided in the following table, calculate the Treynor Ratio for each fund and rank them from best (1) to worst (3):   Show your work in the uploaded document.   

Fidelity Vanguard Blackrock

Return 0.1313 0.1710 0.1279

Beta 0.80 1.20 1.00

Standard Deviation    0.22                 0.40                 0.28

             Risk-free Rate is 7%

Homework Answers

Know the answer?
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for?
Ask your own homework help question
Similar Questions
You want to evaluate three mutual funds using the Treynor measure for performance evaluation. The risk-free...
You want to evaluate three mutual funds using the Treynor measure for performance evaluation. The risk-free return during the sample period is 6%. The average returns, standard deviations, and betas for the three funds are given below, in addition to information regarding the S&P 500 Index. FundA 13% 10% 0.5 Average Return Standard Deviation Beta Fund B Fund C S&P 500 19 % 20% 1.0 25 % 30% 1.5 18 % 16% 1.0
You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The...
You want to evaluate three mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 19%. The average returns, residual standard deviations, and betas for the three funds are given below. Average Return Residual Standard Deviation Beta Fund A 20 % 4.00 % 0.8 Fund B 21 % 1.25 % 1.0 Fund C 23 % 1.20 % 1.2 The fund with the...
You have researched information on 3 mutual funds. If the risk-free rate is currently 5.5%, which...
You have researched information on 3 mutual funds. If the risk-free rate is currently 5.5%, which one of these funds has the best risk-adjusted performance? Fund Q: Average annual return: 8.21% Standard deviation: 7.00% Beta coefficient: 0.921 Fund R: Average annual return: 11.55% Standard deviation: 13.52% Beta coefficient: 1.100 Fund S: Average annual return: 12.00% Standard deviation: 16.05% Beta coefficient: 1.825 A. Fund S, because it has the highest Treynor ratio B. Fund R, because it has the highest Sharpe...
You are given some information about two mutual funds: Fidelity Magellan (FMAGX) and T Rowe Price...
You are given some information about two mutual funds: Fidelity Magellan (FMAGX) and T Rowe Price Health Sciences Fund (PRHSX). Fund Average return Standard deviation Beta FMAGX 1% 2% 0.5 PRHSX 1.5% 2.5% 0.8 The S&P500 made an average of 2% per month over the same period. The risk free rate was zero throughout. (a) Calculate the Sharpe ratio and alpha of each fund (b) Assume that each fund will continue to have the same Sharpe ratio and alpha going...
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard...
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard Deviation Beta A 25% 22% 2.1 B 21% 19% 1.5 C 15% 10% 0.8 Market (M) 15% 12% Risk Free Rate = 5% Complete the following table: Manager Expected Return Sharpe Ratio Treynor Ratio Jensen’s Alpha A B C Rank
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard...
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard Deviation Beta A 25% 22% 2.1 B 21% 19% 1.5 C 15% 10% 0.8 Market (M) 15% 12% Risk Free Rate = 5% Complete the following table: Manager Expected Return Sharpe Ratio Treynor Ratio Jensen’s Alpha A B C Rank
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard...
The following table provides information about the portfolio performance of three investment managers: Manager Return Standard Deviation Beta A 25% 22% 2.1 B 21% 19% 1.5 C 15% 10% 0.8 Market (M) 15% 12% Risk Free Rate = 5% Complete the following table: Manager Expected Return Sharpe Ratio Treynor Ratio Jensen’s Alpha A B C Rank
You want to evaluate three mutual funds using the Jensen measure for performance evaluation. The risk-free...
You want to evaluate three mutual funds using the Jensen measure for performance evaluation. The risk-free return during the sample period is 6%, and the average return on the market portfolio is 18%. The average returns, standard deviations, and betas for the three funds are given below. Average return Standard deviation Beta Fund A 20% 20% 1.1 Fund B 18% 25% 1 Fund C 16% 30% 0.9    The fund with the highest Jensen measure is A. Fund C. B....
You consider investing in two mutual funds with the following parameters: Fund 1 Fund 2 Beta...
You consider investing in two mutual funds with the following parameters: Fund 1 Fund 2 Beta 0.8 1.2 Standard Deviation 20% 32% The funds are valued in a market where investors can borrow and lend, using T-bills, at the risk free rate of 5% and require a risk premium above this risk free rate of 8% for holding the market portfolio. Suppose you can borrow and lend at the risk free rate of interest. Which of the two funds do...
Two mutual funds have the following data related to their performances. Description Vasco Fund Majelan Fund...
Two mutual funds have the following data related to their performances. Description Vasco Fund Majelan Fund Asset under management (m) $600 $500 Security sales over the year (m) $480 $100 Expense ratio 1.15% 0.25% Pre-tax return 15% 13% Tax-adjusted return 11.5% 10.2% Tracking Error 47.8% 4.50% Standard deviation of returns 20% 18% Beta 1.5 1.2 Which fund is likely active and which one is passive? Why? Which fund is tax efficient? Assume the risk-free rate is 2% and the market...
ADVERTISEMENT
Need Online Homework Help?

Get Answers For Free
Most questions answered within 1 hours.

Ask a Question
ADVERTISEMENT