Exhibit 18-11 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) The last year's performance for four mutual funds is presented below. The market return was 10.70%, last year with a standard deviation of 13.1% and the risk-free rate of return was 5%. \[\begin{array} { c c c c } \text { Fund } & \text { Beta } & \begin{array} { c } \text { Standard } \\ \text { Deviation (\%) } \end{array} & \text { Return (\%) } \\ \hline \text { A } & 1.50 & 18.95 & 12.5 \\ \text { B } & 1.20 & 12.41 & 13.0 \\ \text { C } & 0.90 & 9.30 & 11.2 \\ \text { D } & 0.50 & 8.10 & 9.5 \end{array}\] -Refer to Exhibit 18-11. Compute the Sharpe Measure for the A fund.

A) 0.012 B) 0.040 C) 0.069 D) 0.396 E) 1.142 A) 0.012 B) 0.040 C) 0.069 D) 0.396 E) 1.142

Exhibit 18-3 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) Consider the data presented below on three mutual funds and the market. $\begin{array}{llccc} \text { Fund } & \text { Beta } & \begin{array}{c} \text { Standard } \\ \text { Deviation }(\%) \end{array} & \text { Return }(\%) & \mathrm{R}_{\mathrm{f}}(\%) \\ \hline \text { AAA } & 0.75 & 7.0 & 14 & 3 \\ \text { BBB } & 1.05 & 5.0 & 18 & 3 \\ \text { CCC } & 0.89 & 8.0 & 20 & 3 \\ \text { Market } & 1.00 & 8.0 & 12 & 3 \end{array}$ -Refer to Exhibit 18-3. Compute the Treynor Measure for the CCC fund.

A) 14.7 B) 15.3 C) 19.1 D) 17.0 E) 12.7 A) 14.7 B) 15.3 C) 19.1 D) 17.0 E) 12.7

A portfolio manager has the following sequence of cash flows over a two year period. $\begin{array}{|c|c|c|c|} \hline \text { Time } & \begin{array}{c} \text { Market Value before } \\ \text { cash flow } \end{array} & \text { Cash In } & \begin{array}{c} \text { Market Value after } \\ \text { cash flow } \end{array} \\ \hline 0 & \$ 0 & \$ 3,000 & \$ 3,000 \\ \hline 1 & \$ 3,200 & \$ 1,950 & \$ 5,150 \\ \hline 2 & \$ 6,000 & -\$ 90 & \$ 5,910 \\ \hline \end{array}$ Calculate the portfolio manager's time weighted return.

A) 13.56% B) 11.48% C) 15.50% D) 8.75% E) 10.67% A) 13.56% B) 11.48% C) 15.50% D) 8.75% E) 10.67%

Exhibit 18-4 USE THE FOLLOWING INFORMATION FOR THE NEXT PROBLEM(S) The data presented below has been collected at this point in time. $\begin{array}{llccc} \text { Fund } & \text { Beta } & \begin{array}{c} \text { Standard } \\ \text { Deviation }(\%) \end{array} & \text { Return }(\%) & \mathrm{R}_{\mathrm{f}}(\%) \\ \hline \text { AAA } & 1.05 & 4.98 & 16 & 6 \\ \text { BBB } & 1.00 & 4.04 & 15 & 6 \\ \text { CCC } & 0.92 & 3.13 & 11 & 6 \\ \text { Market } & 1.00 & 3.75 & 13 & 6 \end{array}$ -Refer to Exhibit 18-4. Compute the Jensen Measure for the BBB fund.

A) 2.10 B) 2.74 C) 5.43 D) 2.00 E) 1.65 A) 2.10 B) 2.74 C) 5.43 D) 2.00 E) 1.65

Exhibit 18-9 THE FOLLOWING INFORMATION IS FOR THE NEXT PROBLEM(S) Consider the following information for four portfolios, the market and the risk free rate (RFR) $\begin{array}{|l|c|c|c|} \hline \text { ortfolio } & \text { Return } & \text { Beta } & \text { SD } \\ \hline \text { A1 } & 0.15 & 1.25 & 0.182 \\ \hline \text { A2 } & 0.1 & 0.9 & 0.223 \\ \hline \text { A3 } & 0.12 & 1.1 & 0.138 \\ \hline \text { A4 } & 0.08 & 0.8 & 0.125 \\ \hline \text { Market } & 0.11 & 1 & 0.2 \\ \hline \text { RFR } & 0.03 & 0 & 0 \\ \hline \end{array}$ -Refer to Exhibit 18-9. Calculate the Sharpe Measure for each portfolio.

A) A1 = 0.40, A2 = 0.31, A3 = 0.65, A4 = 0.66 B) A1 = 0.31, A2 = 0.66, A3 = 0.65, A4 = 0.40 C) A1 = 0.66, A2 = 0.65, A3 = 0.31, A4 = 0.40 D) A1 = 0.66, A2 = 0.31, A3 = 0.65, A4 = 0.40 E) None of the above. A) A1 = 0.40, A2 = 0.31, A3 = 0.65, A4 = 0.66 B) A1 = 0.31, A2 = 0.66, A3 = 0.65, A4 = 0.40 C) A1 = 0.66, A2 = 0.65, A3 = 0.31, A4 = 0.40 D) A1 = 0.66, A2 = 0.31, A3 = 0.65, A4 = 0.40 E) None of the above.