Business, 05.05.2020 16:43 1060975

Kelly is a portfolio manager of a large-cap equity mutual fund. The market proxy and benchmark for performance measurement purposes is the S&P500. Although Kelly's portfolio generally mirrors the asset class and sector weightings of the S&P, Kelly is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. The risk-free rate of return is 2% and the correlation between Kelly's portfolio and the S&P500 is 0.1. Kelly's fund 10.2% 37% Return SD Beta S&P500 -22.5% 44% 1.1 1 a. Calculate the Sharpe ratio for Kelly's fund and the S&P500. b. Calculate the Treynor ratio for Kelly's fund and the S&P500. c. Calculate the Information ratio for Kelly's fund. d. Which portfolio would you prefer - Kelly's portfolio or the S&P500? e. Explain why Kelly's return was superior to the S&P500.

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Kelly is a portfolio manager of a large-cap equity mutual fund. The market proxy and benchmark for p...

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