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Homework: REITs and RE Investment Performance Assignment i

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Problem 23-7

Year 1

Year 2

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

Year 3

Year 4

Year 5

Year 6

Year 7

Year 8

Year 9

Year 10

Fund

Return

21%

22%

24%

26%

24%

28%

19%

17%

14%

12%

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?

Required B

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

Benchmark

Return

18%

19%

12%

15%

21%

21%

17%

15%

12%

11%

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Risk-free

rate

20

2

2%

2.9

2%

2%

2%

2%

2%

2%

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

& Answer is not complete.

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Required C Required D Required E

Negative value should be indicated with minus sign.)

what is Jensen's alpha for the fund? (Do not round intermediate calculations. Round your final answer to 2 decimal places.

< Required D

B

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