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Homework: REITs and RE Investment Performance Assignment i

5

points

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AC

Hals

Problem 23-7

Year 1

Year 2

Year 3

Year 4

Year 5

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

Fund

Return

21%

Benchmark

Return

18%

22%

19%

24%

12%

26%

15%

24%

21%

28%

21%

19%

17%

17%

15%

14%

12%

12%

11%

Year 6

Year 7

Year 8

Year 9

Year 10

TOSHIBA

VO.

ID VOID

Voin

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 A

Fund

Required B

Benchmark

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Required C

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Treynor Ratio

Risk-free

rate

2%

5.19 %

3.70

2.%

2%

2%

2%

2%

2%

2%

2%

2%

to 2 decimal places)

What is the Treynor ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer

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Required D Required E

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