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Finance Homework

29 Oct

Finance Homework:There is an excel file for these questions.

 

  1. I have uploaded monthly returns for a fund, along with returns for some indices and the risk free rate (BofAML 3-Month US Treasury Bill ) from July 2015 through Oct 2017 in the files sections (titled benchmark.csv) – use it for questions 1 to 5. 

What is the arithmetic average monthly return of the fund?

  1. What is the style adjusted average monthly return for the fund, using the S&P 500 as the benchmark?
  2. What is the monthly Sharpe Ratio of the fund, expressed as a percentage? (for example, 0.453 should be entered as 45.3)
  3. What is the monthly CAPM Alpha of the fund, using the S&P 500  as the market?
  4. For the manager of this fund, attempting to portray his/her fund in the best possible light, which index should the manager use as the fund’s benchmark?
Wilshire
All three indices listed are equally good benchmarks
Russell
S&P
  1. A hedge fund manager managing $100 million with a 2/20 fee structure with no high water mark feature has a pre-fee return of 7% next year. What does the manager get paid? (answer in millions of dollars, so if the manager is paid $10 million, answer 10)
  2. A hedge fund manager managing $100 million with a 2/20 fee structure with a high water mark feature and a high water mark of $100 million has a pre-fee return of 7% next year. What does the manager get paid? (answer in millions of dollars, so if the manager is paid $10 million, answer 10)
  3. A hedge fund manager managing $100 million with a 2/20 fee structure with a high water mark feature and  a high water mark of $110 million has a pre-fee return of 7% next year. What does the manager get paid? (answer in millions of dollars, so if the manager is paid $10 million, answer 10)

 

 

 

 
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Posted by on October 29, 2017 in academic writing, Academic Writing

 

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