A pension portfolio manager is about to upgrade his performa…

A pension portfolio manager is about to upgrade his performance calculation software. Currently, his performance software will only calculate his performance on a quarterly basis. The quarterly performance numbers calculated on a money-weigh ted rate-of- return basis for the year 2017 are shown below. The portfolio benchmark has annual return of 4.2 percent and the market index has a return of 3.4 percent.            QUATER                 RETURN             1                               5.35%             2                               -2.34%             3                               4.62%             4                               1.25%   What is the return due to the portfolio manager’s style

Consider the following table of monthly returns for a hedge…

Consider the following table of monthly returns for a hedge fund and an index portfolio. For the purpose of computation, the hurdle rate is the U.S. T-bill rate, assumed to be 6 percent per year.                                                 RETURNS (%)                                      MONTH    Hedge Fund       INDEX January 3.5% 2.4% February 4.0% 3.0% March – 2.0% -1.6% April -2.0% -1.0% May 1.0% 0.2% June 1.0% 1.0% What is the arithmetic average rolling returns for the hedge fund if the investor’s investment horizon is four months?