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(solution)- Performance Metrics


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The Question

When you pick the best choice for your portfolio, defend your decision in a one-page essay following APA guidelines.

 

 

You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate.

 

 

Year

Papa Fund

Mama Fund

Market

Risk-Free

2008

-12.6%

-22.6

-24.5%

1%

2009

25.4

18.5

19.5

3

2010

8.5

9.2

9.4

2

2011

15.5

8.5

7.6

4

2012

2.6

-1.2

-2.2

2

Calculate the Sharpe ratio, Treynor ratio, Jensen?s alpha, information ratio, and R-squared for both funds and determine which is the best choice for your portfolio.

 

 

?

 


Solution details

Solution #000479105356

(solution)- Performance Metrics.zip

Performance Metrics

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Performance xxxxxxx

file1.docx preview (434 words)

When you xxxx xxx best xxxxxx xxx xxxx xxxxxxxxxx xxxxxx your decision xx a?one-page xxxxx xxxxxxxxx APA guidelines.

 

xxx xxxx been given the xxxxxxxxx return information for two mutual xxxxx (Papa xxx Mama), xxx xxxxxx index, and the risk-free rate.

 

 

xxxx

 

xxxx

 

xxxx

 

xx

 

xxx

 

xxxxx

 

xxxx

 

xxx

 

xxx

 

xx

 

xxx

 

xx

 

xxxxx

 

xx

 

xxxxxx

 

xx

 

xxxxx

 

xxx

 

xxx

 

xxxx

 

xxxx xxxx

 

Mama Fund

 

 

Market

 

xxxxxxxxx

 

xxxx

 

xxxxxx

 

-22.6%

 

 

-24.5%

 

1%

 

2009

 

25.4%

 

xxxxx

 

 

19.5%

 

3%

 

2010

 

8.5%

 

xxxx

 

 

xxxx

 

2%

 

xxxx

 

xxxxx

 

xxxx

 

 

7.6%

 

4%

 

2012

 

2.6%

 

-1.2%

 

 

-2.2%

 

2%

 

Avg

 

xxxxx

 

2.46%

 

 

1.96%

 

2.40%

 

Standard Deviation

 

14.25%

 

15.66%

 

 

xxxxxx

 

 

Tracking xxxxx

 

xxxxx

 

1.13%

 

 

 

 

xxxxx

 

xxxxx

 

xxxx

 

 

 

 

Beta

 

xxxxx

 

.9342

 

 

 

 

xxxx Ratio

 

1.2478

 

xxxxxx

 

 

 

 

xxxxxxxxxxx

 

xxxxx

 

.9996

 

 

 

 

xxxx

 

xxxx xxxx Excess

 

xxxx xxxx xxxxxx

 

Market Excess

 

xxxx Fund Excess Diff

 

Mama xxxx xxxxxx Diff

 

2008

 

-13.60%

 

-23.60%

 

xxxxxxx

 

xxxxxx

 

xxxxx

 

xxxx

 

22.40%

 

15.50%

 

xxxxxx

 

xxxxx

 

-1.00%

 

xxxx

 

xxxxx

 

7.20%

 

7.40%

 

xxxxxx

 

-0.20%

 

xxxx

 

xxxxxx

 

xxxxx

 

xxxxx

 

7.90%

 

xxxxx

 

2012

 

xxxxx

 

-3.20%

 

-4.20%

 

xxxxx

 

1.00%

 

 

 

 

xxxxxxxxx the xxxxxx xxxxxx

 

PF=(7.8-2.4) divided xx 14.25=.384561

 

MF+(2.48-2.4) xxxxxxx xx xxxxxxxxxxxxx

 

Treynor xxxxx

 

xxxxxxxxxxx xxxxxxx by 80.99 (Beta)=.06766

 

(2.48-2.40) xxxxxxx xx 93.42=.085634

 

xxxxxx?x alpha:

 

xxxxxxxxxxxxxxx x (1.96-2.40)

 

7.88-2.40- xxxxxxxxxxxxxxxxx

 

2.48-2.40-.9342(2.48-2.40)

 

xxxxxxxxx -.4119768=.4919768

 

xxxxxxxxxxx xxxxx x

 

5.84/4.68=1.24786

 

.49/1.13=.43362

 

xxxxx divided xx xxxxxxxx xxxxx

 

R-squared for both funds xxx

 

- - -

 

more text follows

 

- - -

 

 

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This paper was answered on 19-Jul-2017

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DATE ANSWERED

Jul 19, 2017

EXPERT

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