Question 7 Consider the following data for these funds. Non- Average Standard Beta systematic Fund Return Deviation Coef
Posted: Wed May 18, 2022 9:42 pm
Question 7
Consider the following data for these
funds.
Non-
Average
Standard
Beta
systematic
Fund
Return
Deviation
Coefficient
Risk
Alpha
28.00%
27.00%
1.7000
5.00%
Omega
31.00%
26.00%
1.6200
6.00%
Omicron
22.00%
21.00%
0.8500
2.00%
Millennium
40.00%
33.00%
2.5000
27.00%
Big Value
15.00%
13.00%
0.9000
3.00%
Momentum Watcher
29.00%
24.00%
1.4000
16.00%
Big Potential
15.00%
11.00%
0.5500
1.50%
S & P Index Return
20.00%
17.00%
1.0000
0.00%
T-Bill Return
6.00%
0.0000
Calculate:
Sharpe, Treynor, Jenson,
M2, T2 and Information ratio for these funds
and rank the funds according to the performance measures.
[Total of
Question 7: 15 marks]
Consider the following data for these
funds.
Non-
Average
Standard
Beta
systematic
Fund
Return
Deviation
Coefficient
Risk
Alpha
28.00%
27.00%
1.7000
5.00%
Omega
31.00%
26.00%
1.6200
6.00%
Omicron
22.00%
21.00%
0.8500
2.00%
Millennium
40.00%
33.00%
2.5000
27.00%
Big Value
15.00%
13.00%
0.9000
3.00%
Momentum Watcher
29.00%
24.00%
1.4000
16.00%
Big Potential
15.00%
11.00%
0.5500
1.50%
S & P Index Return
20.00%
17.00%
1.0000
0.00%
T-Bill Return
6.00%
0.0000
Calculate:
Sharpe, Treynor, Jenson,
M2, T2 and Information ratio for these funds
and rank the funds according to the performance measures.
[Total of
Question 7: 15 marks]