Year 2012 2013 2014 2015 2016 Equity Fund (%) -7.1 -13.5 5.5 6.5 7.4 Bond Fund (%) 0.9 1.3 2.4 2.7 3.1 Compute Sample standard deviations of Equity Fund
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- Problem 13-19 Performance Metrics (LO1, CFA5) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -15.88 25.1 13.1 7.6 -1.62 Sharpe ratio Treynor ratio Market -31.58 20.2 11.5 8.0 -3.2 Risk-Free 38 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.● Following results were obtained for the period of six months ending September 2022. Birla Sundaram Sun Nifty Rf Rp 25.38 36.28 45.56 36.74 9.00 Sigma 4.0 6.86 4.31 3.69 Beta 0.23 0.52 0.63 1.00 Using inputs, rank the funds according to the predictive ability of the fund's manager.Calculating NAV A fund has a market value of securities of $860 million, cash and receivables of $29 million, current liabilities of $26 million and has 19 million fund shares outstanding. What is the fund's NAV per share? Multiple Choice $48.16 $46.79 O $47.62 O $45.42
- The output below e penerted from regreseing Fund As exess returns on wkets excees retume (8AP S00). Kiatimate Glet Pavelue intercept L0.000 o.0077 1.2767 0.2066 Market index 1.3258 0.2157 6.1451 0.0000 Adj Reg lObservatione o.3830 so How well does CAPM explain the retume on Fund A? O Expleine over 30% of the variation in Fund A's excess returns O Explains over 60% ofr the variation in Fund A's excess returns O Explains below 20% of the varlation in Fund A's excess returns O Explains below 30% of the variation in Fund A's excess returnsProblem 13-19 Performance Metrics (LO1, CFA7) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is.97. Year 2015 2016 2017 2018 2019 Fund -15.13% Sharpe ratio Treynor ratio 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 Risk-Free 2% What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)The Solace Fund Burrfoot Enterprises Majere Brothers Incorporated Uth Matar Limited Lance Medical Supplies Burrfoot Enterprises Majere Holdings Uth Matar Limited Lance Medical Supplies Total Fund Performance Holding Period Return 58.33% 22.61% -6.95% 5.75% =B5*C5 Required: Using the information in the tables above, please calculate the contribution each stock makes to the portfolio performance. Then calculate overall portfolio performance. (Use cells A3 to C6 from the given information to complete this question.) The Solace Fund Contribution to Portfolio Return 8.75% 6.78% -1.39% Portfolio Weight 2.01% 15% 30% 20% 35%
- Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Average Rate of Investment Vehicle Standard Deviation 20.07% 13.20 12.25 0.70 Fund 1 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Fund 1 Fund 2 Return 28.40% 13.80 14.76 7.00 Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % % % Beta R² 1.367 0.777 0.865 0.689 Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity % % Diversification % % Net selectivity % % d. Explain…Year 2009 2010 2011 2012 2013 2014 2015 2016 Average % (-AVERAGE) SD (%) (-STDEVP) SD (%) (-STDEV.S) PSB 2017 2018 Covariance average product of deviations COVAR Correlation = Cov/(SDs * SDb) CORREL (=CORREL) Rates of Return Stock Fund (%) Bond Fund (%) 30.17 5.08 32.97 7.52 21.04 -8.82 -8.10 5.27 -12.89 12.20 -28.53 -7.79 22.49 6.38 12.58 12.40 14.81 17.29 15.50 0.51 Cov(rs,B) OS XOB Slope (Beta) Deviation from Average Returns Stock Fund Bond Fund Product of Deviations Squared Deviation Stock Fund Bond Fund Variance (n) Formula Calculations. Variance (n-1) Formula CalculationsProblem 13-20 Jensen's Alpha (LO1, CFA5) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.91. Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% Jensen's alpha Information ratio 19.80 10.30 7.60 -2.20 Risk-Free 1% 5 2 4 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. Extensions %
- Calculate the sales charge (in $) and sales charge percent for the mutual fund. (Round percents to one decimal place.) Fund OfferPrice Net AssetValue SalesCharge SalesCharge % Northstar A: MuFl A $13.45 $12.81 $ %Consider the following trading and performance data for four different equity mutual funds: Fund W Fund X Fund Y Fund Z Assets Under Management, $ 289.40 $ 653.70 $ 1,298.40 $ 5,567.30 Avg. for Past 12 Months (mil) Security Sales, Past 12 Months (mil) $ 37.20 $ 569.30 $ 1,453.80 $ 437.10 Expense Ratio 0.33% 0.71% 1.13% 0.21% Pretax Return, 3-Year Avg. 9.98% 10.65% 10.12% 9.83% Tax-Adjusted Return, 3-Year Avg. 9.43% 8.87% 9.34% 9.54% a. Calculate the portfolio turnover ratio for each fund. b. Which two funds are most likely to be actively managed and which two are most likely passive funds? Explain. c. Calculate the tax cost ratio for each fund. d. Which funds were the most and least tax efficient in the operations? Why?EXHIBIT 20-6 Mutual Fund Quotation Table in the Wall Street Journal Online (1) Family/Fund (2) (3) (4) Change (5) (6) 3-year % change Symbol NAV YTD % return American Funds Class A GwthA p AGTHX 25.53 0.01 -6.6 -7.9 ICAA p EupacA WshA p СaplBA p AIVSX 23.99 0.01 -6.6 -8.6 AEPGX 35.99 0.17 -6.1 -5.8 AWSHX 23.60 0.02 -3.1 -9.1 CAIBX 46.62 0.15 -0.8 -4.8 Fidelity Invest Contra FCNTX 56.46 0.07 -3.0 -5.0 Magellan FMAGX 58.16 -0.09 -9.5 -11.3 DivIntl FDIVX 25.61 0.04 -8.5 -11.1 GoldInst r FGDIX 49.26 0.69 16.3 17.7 RealEstInc r FRIFX 10.00 0.02 10.7 3.6 John Hancock Funds A BondA p САТXFA p Classic Val p HİYMUBDA p JHNBX 15.52 0.01 10.5 8.7 ТАСАХ 10.60 0.01 8.9 4.9 PZFVX 13.70 0.03 -4.8 -15.8 JHTFX 8.30 0.01 8.6 5.1 InvGrBdA TAUSX 10.36 0.02 9.6 7.9 PIMCO Fds Institutional AllAsset PAAIX 12.30 0.01 9.4 6.3 IntIStksPLS r PISIX 8.72 0.04 4.6 -2.4 MortBckSec r PTRIX 11.10 0.01 8.7 8.8 VANGUARD INDEX FDS 500 Index VFINX 96.95 0.04 -4.7 -8.7 Europe VEURX 23.29 0.09 -10.2 -12.0 ITBond VBIIX 11.69…
