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Q1) You are given following information regarding several mutual funds:
Fund
Return in excess of the treasury bill rate
Beta
A
12.4%
1.14
B
13.2
1.22
C
11.4
.99
D
9.8
0.76
E
12.6
.95
In the time period Standard & Poor's stock index surpass treasury bill rate by 10.5%
a) Rank performance of each fund with no adjusting for risk by using Treynor index. Which if any outperformed the market (Keep in mind the beta of market is 1.0)
b) Analysis in part (a) suppose each fund is suitably diversified so that suitable measure of risk is beta coefficient, assume, though this supposition doesn't hold and standard deviation of each funds return was as follow
Standard of deviation of return
0.045= 4.5%
0.031
0.01
0.014
0.035
Therefore, fund A earned a return if 12.4%, but approximately 68% of time this return has ranged from 7.9% to 16.9%. Standard deviation of market return is 0.01(ie 1 percent) so 68 percent of time, return on market has ranged from 9.5 to 11.5%. Rank the funds by using this alternative measure of risk. Which, if any outperformed the market on the risk-adjusted basis.
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