70.2K

Verified Solution

Link Copied!

2. Below is the return and risk information for Century and Dreyfus funds, T-bill and S&P 500. Funds Beta Arithmetic Mean Annual return (%) Geometric Mean Annual Return (%) o(r) (%) o(e) (%) OO T-bill S&P 500 Century Dreyfus 5 18 17 13 15 12.5 0 13 17 10 0 1 0.81 0.65 13 5 a. Calculate Jensen-alpha, Sharpe ratio, Treynor index and information ratio for both funds. Interpret each number for Century fund. b. Which fund is the best for the following investors? Provide a brief justification for each selection Investor#1: He does not currently have any investment. Your selection will be his first fund. Investor#2: His current portfolio includes five mutual funds. Your selection will be his sixth fund. Investor#3: Both funds are hedge funds. C. Based on your selection for Investor#1, calculate M2 and T of the fund. Interpret the numbers. d. Sketch M2 and T2 on graphs. 2. Below is the return and risk information for Century and Dreyfus funds, T-bill and S&P 500. Funds Beta Arithmetic Mean Annual return (%) Geometric Mean Annual Return (%) o(r) (%) o(e) (%) OO T-bill S&P 500 Century Dreyfus 5 18 17 13 15 12.5 0 13 17 10 0 1 0.81 0.65 13 5 a. Calculate Jensen-alpha, Sharpe ratio, Treynor index and information ratio for both funds. Interpret each number for Century fund. b. Which fund is the best for the following investors? Provide a brief justification for each selection Investor#1: He does not currently have any investment. Your selection will be his first fund. Investor#2: His current portfolio includes five mutual funds. Your selection will be his sixth fund. Investor#3: Both funds are hedge funds. C. Based on your selection for Investor#1, calculate M2 and T of the fund. Interpret the numbers. d. Sketch M2 and T2 on graphs

Answer & Explanation Solved by verified expert

See Answer