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&P?s allocation between stocks and cash during the period was a constant 91% and 9%, respectively. The risk-free rate of return was 2%.
One-Year Trailing Returns
|?||Miranda Fund||S&P 500|
What is the?M2?measure for Miranda??(Do not round intermediate calculations. Round?your answer to 2 decimal places.)
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.)
What is the Jensen measure for the Miranda Fund??(Do not round intermediate calculations. Round your answers to 4 decimal places.)