Finance

Read the question and please scan or photo your working, accurate answer only.

Problem 13-14

a. A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Round your answer to 2 decimal places. Omit the “%” sign in your response.)

  Problem 13-19

Consider the following 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 0.95.
Year Fund Market Risk-Free
2008 -15.13 % -25.5 % 2 %
2009 25.1   19.6   4  
2010 12.5   9.7   2  
2011 6.4   7.6   4  
2012 -1.26   -2.2   3  
What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.)

Problem 13-20

Consider the following 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 0.89.
Year Fund Market Risk-Free
2008 -17.6 % -34.5 % 2 %
2009 25.1   20.5   4  
2010 13.4   12.4   2  
2011 6.6   8.4   5  
2012 -1.8   -4.2   3  
Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places &  Information ratio answer to 4 decimal places. Omit the “%” sign in your response.)






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Read the question and please scan or photo your working, accurate answer only.
Problem 13-14
a.
A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Round your answer to 2 decimal places. Omit the “%” sign in your response.)
  Problem 13-19
Consider the following 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 0.95.
  
Year
Fund
Market
Risk-Free







2008
-15.13
%
-25.5
%
2
%
2009
25.1
 
19.6
 
4
 
2010
12.5
 
9.7
 
2
 
2011
6.4
 
7.6
 
4
 
2012
-1.26
 
-2.2
 
3
 

  
What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.)
 
Problem 13-20
Consider the following 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 0.89.
  
Year
Fund
Market
Risk-Free







2008
-17.6
%
-34.5
%
2
%
2009
25.1
 
20.5
 
4
 
2010
13.4
 
12.4
 
2
 
2011
6.6
 
8.4
 
5
 
2012
-1.8
 
-4.2
 
3
 

   
Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places &  Information ratio answer to 4 decimal places. Omit the “%” sign in your response.)
  Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places &  Information ratio answer to 4 decimal places. Omit the “%” sign in your response.)
 
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