sb. What are the M² measures for Miranda and the S&P 500? (Do not round intermediate calculations. Round your answerto 2 decimal places.)M 2 measure for Mirandac. What is the Treynor's measure 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.)Treynor measure for the Miranda FundTreynor measure for the S&P 50034.30 %Jensen measure for the Miranda Fund0.0745(0.2450)d. What is the Jensen measure for the Miranda Fund? (Do not round intermediate calculations. Round your answer to 2decimal places.)35.20 % Kelli Blakely is a portfolio manager for the Miranda Fund, a core large-cap equity fund. The benchmark for performancemeasurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sectorweightings 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 andsecurity selection skills. At the outset of the year, she became extremely concerned that the combination of a weakeconomy and geopolitical uncertainties would negatively impact the market. Taking a bold step, she changed her marketallocation. For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&P's allocationbetween stocks and cash during the period was a constant 97% and 3%, respectively. The risk-free rate of return was 2%.One-Year Trailing ReturnsMirandaFund10.2%37%ReturnStandard deviationBeta1.10Sharpe ratio for the Miranda FundSharpe ratio for the S&P 500S&P 500-22.5%44%1.00Required:a. What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Do not round intermediate calculations. Negativeamount should be indicated by a minus sign. Round your answers to 4 decimal places.)+0.22160.5568

Miranda FundS&P 500Return10.2%-22.50%Standard deviation37%44%Beta1.101.00Risk-free rate2%

b. What are the M2 measures for Miranda and the S&P 500? (Do not round intermediate calculations. Round your answer to 2 decimal places.) M 2 measure for Miranda 34.30 % c. What is the Treynor's measure 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 measures for Miranda and the S&P 500? (Do not round intermediate calculations. Round your answer to 2 decimal places.) M 2 measure for Miranda 34.30 % c. What is the Treynor's measure 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.)

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Yellen and Zagami) who (actively) manage two funds which are considering. Your associates have assembled the following historical average return, standard deviation, and CAPM beta estimates for these two fund managers over the past five years. In addition, you have estimated that the risk premium for the market portfolio is 5.12% and the risk-free rate is currently 4.14%. What is Ms. Yellen's average "alpha" for the period. Report your answer in percentage format rounded to three decimal places. (For example.1234 should be entered as "12.3"). Fund Manager Actual Avg. Return Standard Deviation Ms. Yellen 11% Mr. Zagami 8.24% Answer: 11.07 8.75% Beta 1.18 0.9
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Primo Management Co. is looking at how best to evaluate the performance of its managers. Primo has been hearing more and more about benchmark portfolios and is interested in trying this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the managers on the best methods for constructing a benchmark portfolio, how to choose the best benchmark, whether the style of the fund under management matters, and what they should do with their global funds in terms of benchmarking. For the sake of discussion, Jones put together some comparative 2-year performance numbers that relate to Primo's current domestic funds under management and a potential benchmark. Style Category weight of Primo Large-cap growth Mid-cap growth 0.15 Small-cap growth 0.60 0.25 weight of Benchmark 0.50 0.40 0.10 return of Primo return of Benchmark (%) (%) 17 23 19 14 26 17 Calculate the contribution to performance of the pure sector allocation. Round your answer to two decimal place. Do not…
Primo Management Company is looking at how best to evaluate the performance of its managers. Primo has been hearing more and more about benchmark portfolios and is interested in trying this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the managers on the best methods for constructing a benchmark portfolio, how to choose the best benchmark, whether the style of the fund under management matters, and what they should do with their global funds in terms of benchmarking. For the sake of discussion, Jones put together some comparative two-year performance numbers that relate to Primo’s current domestic funds under management and a potential benchmark. Style Category Weight Return Primo Benchmark Primo Benchmark Large-cap growth 0.60 0.50 17% 16% Mid-cap growth 0.15 0.40 24 26 Small-cap growth 0.25 0.10 20 18 As part of her analysis, Jones also takes a look at one of Primo’s global funds. In this particular portfolio, Primo is invested…
Primo Management Company is looking at how best to evaluate the performance of its managers. Primo has been hearing more and more about benchmark portfolios and is interested in trying this approach. As such, the company hired Sally Jones, CFA, as a consultant to educate the managers on the best methods for constructing a benchmark portfolio, how to choose the best benchmark, whether the style of the fund under management matters, and what they should do with their global funds in terms of benchmarking. For the sake of discussion, Jones put together some comparative two-year performance numbers that relate to Primo’s current domestic funds under management and a potential benchmark. Style Category Weight Return Primo Benchmark Primo Benchmark Large-cap growth 0.60 0.50 17% 16% Mid-cap growth 0.15 0.40 24 26 Small-cap growth 0.25 0.10 20 18 As part of her analysis, Jones also takes a look at one of Primo’s global funds. In this particular portfolio, Primo is invested…

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