Explain whether the fund a underperformed equaled or


Your asset is composed of 50% stocks and 50% cash. The market's allocation between stocks and cash during the period was a constant 97% and 3% respectively. Risk free rate is 12%.

One year trailing returns:

Fund A

Return: 10.2%

Standard Deviation: 37%

Beta: 1.1

Market

Return: -22.5%

Standard Deviation: 44%

Beta: 1

a) What is the Jensen's alpha of Fund A

b) What is the Sharpe Measure of Fund A?

c) M squared of Fund A

d) Treynor Measure of Fund A

e) T squared of fund A

f) Explain whether the Fund A underperformed, equaled, or outperformed the market index benchmark. By which measure did such fund outperform the benchmark market index?

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Financial Management: Explain whether the fund a underperformed equaled or
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