Calculate the measures of performance evaluation

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Reference no: EM133119908

You are evaluating Atlas fund. 

The following data, relating to the performance of the Atlas Fund and the Market Portfolio over a recent year, are available. 

Measure

Atlas Fund

Market Portfolio

Average return

16%

14%

Standard deviation of returns

24%

16%

Beta        

1.15

1.00

Residual standard deviation

1.8%

0%

The risk-free rate during the observed year was 4%.

a. Calculate the following measures of performance evaluation for the Atlas Fund and the Market Portfolio over the observation year.

  • The Sharpe ratio
  • The Treynor ratio
  • The Jensen alpha
  • The information ratio.

b. On the basis of your calculations, would you prefer to invest in the Atlas Fund or the Market portfolio? State why.

Reference no: EM133119908

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