Description of this paper

ACC -Calculate the Sharpe ratio, Treynor ratio, Jensen?s alpha, information ratio, and R-squared

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Question

Question;You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate.Year Papa Fund Mama Fund Market Risk-Free2008 -12.6% -22.6 -24.5% 1 09 25.4 18.5 19.5 32010 8.5 9.2 9.4 22011 15.5 8.5 7.6 42012 2.6 -1.2 -2.2 2Calculate the Sharpe ratio, Treynor ratio, Jensen?s alpha, information ratio, and R-squared for both funds and determine which is the best choice for your portfolio.

 

Paper#42331 | Written in 18-Jul-2015

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