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Homework: REITs and RE Investment Performance Assignment i

5

points

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Problem 23-7

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Year 10

The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year.

Fund

Return

Benchmark

Return

21%

18%

22%

19%

24%

12%

26%

15%

24%

21%

28%

21%

19%

17%

17%

15%

14%

12%

12%

11%

TOSHIBA

Required A

Required:

a. What is the Sharpe ratio for the fund and the benchmark?

b. What is the Treynor ratio for the fund and the benchmark?

c. What is the fund tracking error?.

d. What is the beta for the fund?

e. What is Jensen's alpha for the fund?

Beta

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Complete this question by entering your answers in the tabs below.

DID

Check my work mode: This shows what is correct or incorrect for the w

Risk-free

rate

2%

0.0590

V

2%

2%

2.93

2%

2%

2%

28

2%

2%

2.8

Required B Required C Required D Required E

What is the beta for the fund? (Do not round intermediate calculations. Round your final answer to 4 decimal places.)

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B

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