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Homework: REITs and RE Investment Performance Assignment i

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Problem 23-7

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vo.

annotate X

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

Fund

Return

21%

22%

24%

26%

24%

28%

19%

17%

14%

12%

TOSHIBA

c. What is the fund tracking error?.

d. What is the beta for the fund?

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

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Benchmark

Return

18%

19%

12%

15%

21%

21%

17%

15%

12%

11%

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?

Required A Required B

Homewo X M Question X

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Risk-free

rate

2%

2%

2%

2%

2%

2%

2%

2%

2%

2%

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

4.60%

X Answer is not complete.

Required C Required D Required E

und tracking error

What is the fund tracking error? (Do not round intermediate calculations. Round your final answer to 2 decimal places.)

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Required D >

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