Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return of 8%; the risk-free rate was 2% and the market portfolio returned 8%. The Fund had a target Beta of 1.40, but was actually 1.30. The fund had a standard deviation of 20%, and the market had a standard deviation of 12%. a. Calculate - Sharpe ratio b. Calculate - Treynor Ratio c. Discuss whether Elsie should consider using the Sharpe ratio or the Treynor ratio to discuss portfolio performance

Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return of 8%; the risk-free rate was 2% and the market portfolio returned 8%. The Fund had a target Beta of 1.40, but was actually 1.30. The fund had a standard deviation of 20%, and the market had a standard deviation of 12%. a. Calculate - Sharpe ratio b. Calculate - Treynor Ratio c. Discuss whether Elsie should consider using the Sharpe ratio or the Treynor ratio to discuss portfolio performance

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 5P

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Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return of 8%; the risk-free rate was 2% and the market portfolio returned 8%. The Fund had a target Beta of 1.40, but was actually 1.30. The fund had a standard deviation of 20%, and the market had a standard deviation of 12%. Calculate - Sharpe ratio Calculate - Treynor Ratio
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