Let's start by computing the Sharpe ratios of the investment fund ABC US Value Opportunity and of the market factor. Which of the following is true?<br /><br />1 / 1 point<br />Correct<br />2.<br />Question 2<br />Based on the Sharpe ratios that you computed, which of the following is true?<br /><br />1 / 1 point<br />Correct<br />3.<br />Question 3<br />Table 1 contains the results of a factor analysis done by regressing fund ABC US Value Opportunity's excess returns on a constant and the market factor excess returns. A star, *, indicates that the coefficient is significantly different from zero. No star indicates that we cannot conclude that the coefficient is significantly different from zero. The alpha (i.e. the constant in the regression) is reported in percentage per year. Which of the following is correct?<br /><br />0 / 1 point<br />Incorrect<br />4.<br />Question 4<br />Table 2 contains the results of a factor analysis done by regressing fund ABC US Value Opportunity's excess returns on a constant, the market factor excess returns, and the value factor excess returns. A star, *, indicates that the coefficient is significantly different from zero. No star indicates that we cannot conclude that the coefficient is significantly different from zero. The alpha (i.e. the constant in the regression) is reported in percentage per year. Which of the following is correct?<br /><br />0 / 1 point<br />Incorrect<br />5.<br />Question 5<br />The investment policy statement of this fund manager states that he should not have a higher volatility than the market factor. Based on returns from 1980 to 2015, has he respected this guideline?<br /><br />1 / 1 point<br />Correct
