Calculate the performance measures of each of funds

Assignment Help Portfolio Management

Reference no: EM13213231

Problem 1

Suppose the US dollar and Euro interest rate for the next one year are 1.5% and 2%, respectively. Both are annually compounded. The spot price of Euro is $1.3000, and the one-year forward price of Euro is $1.2900. Determine the correct forward price and recommend an arbitrage strategy.

Problem 2

The following data are available relating to the performance of CSF Equity Fund and the market portfolio:

	Fund A	Fund B	Fund C	Market Portfolio
Average return	18%	12%	30%	15%
Standard deviation	25%	15%	30%	20%
Beta	1.25	0.6	2.5

The risk-free return during the sample period was 5%.

1. Calculate the performance measures of each of the funds (A, B, and C) using Sharpe's, Treynor's, and Jensen's measures. Rank the results for each of the funds.

2. Identify the funds that outperformed the market using the Sharpe's ratio and Treynor's measure, respectively.

3. Are the rankings consistent? Explain any inconsistency.

Reference no: EM13213231

Questions Cloud

Compute the natural rate of unemployment : Suppose that the Phillips curve is given by ?t-?t^e= 0.1-2?t where ?t^e=?t-1 Suppose that inflation in year t-1 is zero. In year t, the authorities decide to keep the unemployment rate at 4% forever. 1. Compute the natural rate of unemployment.

Benchmark in terms of portfolio returns : Compare Joe's and Kim's performance relative to the benchmark in terms of portfolio returns and determine which manager is performing better than the market in a risk adjusted basis.

How the aggregate demand at current prices will shift : Suppose the consumption function is C = $400 billion + 0.8Y and the government wants to stimulate the economy. By how much will aggregate demand at current prices shift initially (before multiplier effects) with: ( a ) A $50 billion increase in go..

By how much does consumer saving increase initially : If taxes were cut by $200 billion, the resulting spree would amount to Initial increase in consumption = 0.75 3 $200 billion = $150 billion ( a ) By how much does consumer saving increase initially ( b ) How large is the initial spending injection

Calculate the performance measures of each of funds : Calculate the performance measures of each of the funds (A, B, and C) using Sharpe's, Treynor's, and Jensen's measures. Rank the results for each of the funds and identify the funds that outperformed the market using the Sharpe's ratio and Treynor'..

How to innovate and possibly earn a normal profit : The basic model of pure competition reviewed in this chapter finds that in the long run all firms in a purely competitive industry will earn normal profits. If all firms only earn a normal profit in the long run, firms will develop new products or..

What role does each type of pay play in motivating managers : explain several dimensions of the shareholder-principal conflict with manager-agents known as the principal-agent problem. to mitigate agency problems between senior and executives and shareholders, should the compensation committee of the board.

Find value of a european call option with an exercise price : Find the value of a European call option with an exercise price of $50 and find the value of a European put option with an exercise price of $50, using the binomial approach

Calculate the implied arc income elasticity of demand : Arc income elasticity Deluxe Carpeting a leading manufacturer of carpeting sold 28 million square yards of carpeting at a price of $16 per yard. This year, GNP per capita is expected to fall from $19,000 to $17,000 as the nation enters a recession..

User Account

All Pages