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  3. ausing the data in the table below and calculate the...

Question: ausing the data in the table below and calculate the...

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a,Using the data in the table below and calculate the following performance measures.

  1. Sharpe ratio

  2. Treynor measure

  3. Jensen’salpha

  4. M-squared measure

  5. T-squared measure, and

  6. Appraisal ratio (information ratio)

Fund

Average

Standard

Beta

Unsystematic

Return

Deviation

Coefficient

Risk

A

0.3646

0.4432

1.1880

0.0436

B

0.3268

0.3340

1.0560

0.0688

C

0.4402

0.4276

1.9800

0.0940

D

0.3898

0.4900

1.7160

0.0400

E

0.3016

0.3808

1.0560

0.0604

F

0.5032

0.4744

2.3760

0.0772

G

0.3772

0.3964

1.2540

0.0604

Market

0.3520

0.3652

1.0000

0.0000

Risk-free return

0.0500

 

0.0000

 

b,Out of the performance measures you calculated in part a., which one would you use under each of the following circumstances

  1. You want to select one of the funds as your risky portfolio.

  2. You want to select one of the funds to be mixed with the rest of your portfolio, currently composed solely of holdings in the market-index fund.

  3. You want to select one of the funds to form an actively managed stock portfolio

 

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