Investment Calculation

Sheet2

		What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank – be certain to enter “0” wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen’s alpha answers to 2 decimal places. Omit the “%” sign in your response.)
Portfolio	RP	σP	βP	Portfolio	Sharpe Ratio	Treynor Ratio	Jensen’s Alpha	Cannot figure out the Treynor Jensen’s or Market
X	16.5	%	37	%	1.40	X			%
Y	15.5	32	1.15	Y			%
Z	7.4	22	.70	Z			%
Market	11.8	27	1.00	Market			%
Risk-free	5.2	0	0

A stock has an annual return of 13 percent and a standard deviation of 61 percent. What is the smallest expected loss over the next year with a probability of 5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.)
Smallest expected loss	%

A stock has an annual return of 10.4 percent and a standard deviation of 41 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.)
Smallest expected gain	%

Problem 13-19
Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97.
Year	Fund	Market	Risk-Free
2008	–20.60	%	–39.5	%	1	%
2009	25.1	21	3
2010	13.9	13.9	2
2011	7.6	8.8	4
2012	–2.10	–5.2	2
What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)

Sharpe ratio		Need answer
Treynor ratio		Need answer

Problem 13-20
Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .95.
Year	Fund	Market	Risk-Free
2008	–19.40	%	–37.5	%	1	%
2009	25.1	20.8	4
2010	13.7	13.3	2
2011	7.2	8.4	6
2012	–1.98	–4.2	2
Calculate Jensen’s alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Round your Jensen’s alpha answer to 2 decimal places and Information ratio answer to 4 decimal places. Omit the “%” sign in your response.)

Jensen’s alpha	%	Need Answer
Information ratio		Need Answer

Problem 17-3
You are given the following information for Smashville, Inc.

Cost of goods sold:	$	234,000
Investment income:	$	2,600
Net sales:	$	397,000
Operating expense:	$	92,000
Interest expense:	$	7,400
Dividends:	$	12,000
Tax rate:	40	%
Current liabilities:	$	20,000
Cash:	$	21,000
Long-term debt:	$	22,000
Other assets:	$	42,000
Fixed assets:	$	131,000
Other liabilities:	$	5,000
Investments:	$	46,000
Operating assets:	$	47,000
Calculate the gross margin, the operating margin, return on assets, and return on equity. (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the “%” sign in your response.)

Gross margin	%
Operating margin	%
Return on assets	%	Cannot figure this one out?
Return on equity	%	Cannot figure this one out?

Problem 17-6
The most recent financial statements for Bradley, Inc., are shown here (assuming no income taxes):

Income Statement
Sales	$	6,400
Costs	(4,480	)
Net income	$	1,920

Balance Sheet
Assets	$	19,200	Debt	$	9,900
Equity	9,300
Total	$	19,200	Total	$	19,200
Assets and costs are proportional to sales. Debt and equity are not. No dividends are paid. Next year’s sales are projected to be $7,808. What is the external financing needed? (Negative amount should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to the nearest whole dollar. Omit the “$” sign in your response.)

EFN	$
Cannot figure out EFN?

Problem 17-11
The most recent financial statements for Martin, Inc., are shown here:

Income Statement
Sales	$	29,500
Costs	-18,000
Taxable income	$	11,500
Taxes (34%)	-3,910
Net income	$	7,590

Balance Sheet
Assets	$	82,600	Debt	$	30,000
Equity	52,600
Total	$	82,600	Total	$82,600
Assets and costs are proportional to sales. Debt and equity are not. A dividend of $1,165 was paid, and Martin wishes to maintain a constant payout ratio. Next year’s sales are projected to be $33,630. What is the external financing needed? (Do not round intermediate calculations. Round your answer to 2 decimal places. Omit the “$” sign in your response.)

EFN	$
Cannot figure out EFN?

Problem 17-14
Amounts are in thousands of dollars (except number of shares and price per share):

Kiwi Fruit Company Balance Sheet
Cash and equivalents	$	480
Operating assets	760
Property, plant, and equipment	3,000
Other assets	165
Total assets	$	4,405
Current liabilities	$	980
Long-term debt	1,375
Other liabilities	175
Total liabilities	$	2,530
Paid in capital	$	395
Retained earnings	1,480
Total equity	$	1,875
Total liabilities and equity	$	4,405

Kiwi Fruit Company Income Statement
Net sales	$	6,700
Cost of goods sold	(4,900	)
Gross profit	$	1,800
Operating expense	(530	)
Operating income	$	1,270
Other income	160
Net interest expense	(200	)
Pretax income	$	1,230
Income tax	(250	)
Net income	$	980
Earnings per share	$	1
Shares outstanding	980,000
Recent price	$	43.5

Kiwi Fruit Company Cash Flow Statement
Net income	$	980
Depreciation and amortization	220
Increase in operating assets	(100	)
Decrease in current liabilities	(112	)
Operating cash flow	$	988
Net (purchase) sale of property	$	200
Increase in other assets	(73	)
Investing cash flow	$	127
Net (redemption) issuance of LTD	$	(168	)
Dividends paid	(182	)
Financing cash flow	$	(350	)
Net cash increase	$	765

Calculate the price-book, price-earnings, and price-cash flow ratios for Kiwi Fruit. (Do not round intermediate calculations. Round your answers to 2 decimal places.)

Price-book ratio		Need Answer
Price-earnings ratio		Need Answer
Price-cash flow ratio		Need Answer

0.10

0.32

0.30540

17.88

41.06