Kelli Blakely is a portfolio manager for the Miranda Fund, a core large-cap equity fund. The market proxy and benchmark

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Kelli Blakely is a portfolio manager for the Miranda Fund, a
core large-cap equity fund. The market proxy and benchmark for
performance measurement purposes is the S&P 500. Although the
Miranda portfolio generally mirrors the asset class and sector
weightings of the S&P, Blakely is allowed a significant amount
of leeway in managing the fund.

Blakely was able to produce exceptional returns last year (as
outlined in the table below) through her market timing and security
selection skills. At the outset of the year, she became extremely
concerned that the combination of a weak economy and geopolitical
uncertainties would negatively impact the market. Taking a bold
step, she changed her market allocation. For the entire year her
asset class exposures averaged 50% in stocks and 50% in cash. The
S&P’s allocation between stocks and cash during the period was
a constant 97% and 3%, respectively. The risk-free rate of return
was 2%.
a. What are the Sharpe ratios for the Miranda
Fund and the S&P 500? (Do not round intermediate
calculations. Negative amount should be indicated by a minus
sign. Round your answers to 4 decimal places.)
b. What are
the M2 measure for the Miranda Fund
and the S&P 500? (Do not round intermediate
calculations. Round your answer to 2 decimal
places.)
c. What is the Treynor measure for the
Miranda Fund and the S&P 500? (Do not round
intermediate calculations. Round your answers to 4 decimal
places.)
d. What is the Jensen measure for the Miranda
Fund? (Do not round intermediate calculations. Round
your answer to 2 decimal places.)