Business, 09.12.2019 21:31 chelsearodi3985

Kelli blakely is a portfolio manager for the miranda fund, 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& p’s allocation between stocks and cash during the period was a constant 96% and 4%, respectively. the risk-free rate of return was 3%. one-year trailing returns miranda fund s& p 500 return 9.5 % −21.8 % standard deviation 36.0 % 41 % beta 1.30 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.)
b. what is the m2 measure for miranda? (do not round intermediate calculations. round your answer to 2 decimal places.)
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.)
d. what is the jensen measure for the miranda fund? (do not round intermediate calculations. round your answers to 4 decimal places.)

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Kelli blakely is a portfolio manager for the miranda fund, a core large-cap equity fund. the market...

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