Maurice Tutor

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  • MCS,PHD
    Argosy University/ Phoniex University/
    Nov-2005 - Oct-2011

Experience

  • Professor
    Phoniex University
    Oct-2001 - Nov-2016

Category > Accounting Posted 18 Aug 2017 My Price 11.00

Kelli Blakely

Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash.

    Blakely was able to produce exceptional returns last year (as outlined in the table below) through her market-timing and security selection skills. At the outset of the year, she became extremely concerned that the combination of a weak economy and geopolitical uncertainties would negatively impact the market. Taking a bold step, she changed her market allocation. For the entire year her asset class exposures averaged 50% in stocks and 50% in cash. The S&PAc€?cs allocation between stocks and cash during the period was a constant 95% and 5%, respectively. The risk-free rate of return was 3%.

 

One-Year Trailing Returns
  Miranda Fund S&P 500
  Return   10.7 %   ?20.6 %
  Standard deviation   38.0 %   43 %
  Beta   1.50     1.00  
 

 

a.

What are the Sharpe ratios for the Miranda Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)

 

   
  Sharpe ratios
Miranda fund =
S&P 500 =
  
 

 

b.

What is the M2 measure for Miranda? (Do not round intermediate calculations. Round your answer to 2 decimal places.)

 

  M2 Measure=__________%  

 

c.

What is the Treynor measure for the Miranda Fund and the S&P 500? (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 4 decimal places.)

 

  Treynor Measure
Miranda =
S&P 500 =

 

  
 

 

d.

What is the Jensen measure for the Miranda Fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

  Jensen measure=____________

Answers

Maurice Tutor
(5)
Status NEW Posted 18 Aug 2017 11:08 PM My Price 11.00

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