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(Solution Download) Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. T


 

 

 

 

 

 

 

 

 

 

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

  Return10.7%?20.6%
  Standard

 

deviation

38.0%43%
  Beta1.501.00

 

 

 

 

 

 

 

 

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=____________

 

  

 


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