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Case Study #2

Data:

Steve is reviewing the performance of his largest asset, XYZ mutual fund, over the most recent sample period. The T-bill rate during this period was 4 percent.

  XYZ Fund Market
Average return 12% 10%
Beta 1.2 1.0
Standard deviation 26% 24%

 

Calculations:

Calculate the risk-adjusted performance for the fund and the market. Use the following measures: Sharpe, Jensen (alpha), and Treynor.

Application:

On a risk-adjusted basis, did the XYZ fund outperform the market?

 



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