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Calculate jensen alpha for the fund

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Reference no: EM133110833

You have been asked to analyze the performance of an equity portfolio which is measured against a leading equity benchmark. A summary of the statistics provided for the portfolio are shown in the table below. the nsk-free rate is 0.5%

 

RP

RB (Benchmark Return)

Return%

13.2

11.8

Volatility

12.8

9.0

Tracking error%

6.8

 

Bete

1.0

 

 

 

 

a) Calculate Jensen's alpha for the fund and comment on the fund manager's performance.

b) Interpret the tracking error of the portfolio 

c) Calculate the Sharpe ratio at the portfolio and comment on whether you think this is a good ratio 

d) Calculate the information ratio of the portfolio and comment on whether you think this a good ratio

Reference no: EM133110833

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