Sie sind auf Seite 1von 13

# 1. Adirondack Small-Cap Fund (ticker ADKSX) is co-managed by UAlbany alumnus Matt Reiner.

Use
the return information in Table 1 below to evaluate the performance of ADKSX since 1 January 2016.
Using the data provided, in an easy-to-find location, calculate the following portfolio metrics for the
actively managed mutual fund: (i) Average return (annualized); (ii) Standard deviation of returns
(annualized); (iii) Sharpe ratio (assuming annualized R f = 1.0%); (iv) Sortino ratio; (v) Information
ratio; (vi) Beta; (vii) Alpha (annualized), and (viii) Maximum drawdown. Display the results and in a
nearby text box briefly list conclusions about whether the fund outperformed or underperformed.

2. Answer this question in a sheet named Option Valuation. The scenario: Assume that today is May 3,
2017. You are asked to price hypothetical August 2017 options on Facebook (FB) stock. (Presently,
only May, June, July, and September options exist.) The risk-free rate is 1.0% per year.
Daily prices in Table 2 below are from Yahoo! Finance. (There are n days of prices, generating n-1
returns.) Create an input range containing the following components:
Current stock price
Exercise price
Annualized stock volatility
Time to expiration
Risk-free rate
Create an interactive spreadsheet to price a call option using the Black-Scholes option-pricing model
(BSOPM). Calculate the price of a FB August 150 call, and place your answer in cell G4. Make sure
its interactive.
Table 1: Actively Managed Mutual Fund Returns

## Date ADKSX Russell 2000 Index

5/2/2017 -0.09% -0.57%
5/1/2017 0.09% 0.49%
4/28/2017 -0.44% -1.18%
4/27/2017 -0.22% -0.16%
4/26/2017 0.48% 0.59%
4/25/2017 0.66% 0.94%
4/24/2017 1.12% 1.31%
4/21/2017 -0.80% -0.31%
4/20/2017 1.35% 1.24%
4/19/2017 0.36% 0.38%
4/18/2017 -0.14% 0.05%
4/17/2017 0.95% 1.18%
4/13/2017 -0.72% -1.03%
4/12/2017 -0.98% -1.29%
4/11/2017 0.54% 0.72%
4/10/2017 0.59% 0.19%
4/7/2017 -0.18% 0.01%
4/6/2017 1.14% 0.91%
4/5/2017 -1.17% -1.17%
4/4/2017 -0.58% -0.11%
4/3/2017 -1.28% -1.17%
3/31/2017 0.40% 0.26%
3/30/2017 0.58% 0.78%
3/29/2017 0.49% 0.32%
3/28/2017 0.72% 0.73%
3/27/2017 0.55% 0.20%
3/24/2017 -0.09% 0.09%
3/23/2017 0.41% 0.58%
3/22/2017 -0.63% -0.07%
3/21/2017 -1.95% -2.71%
3/20/2017 -0.44% -0.53%
3/17/2017 0.40% 0.40%
3/16/2017 0.49% 0.23%
3/15/2017 2.38% 1.50%
3/14/2017 -0.77% -0.58%
3/13/2017 0.05% 0.37%
3/10/2017 0.41% 0.38%
3/9/2017 -0.36% -0.43%
3/8/2017 -0.63% -0.63%
3/7/2017 -0.72% -0.69%
3/6/2017 -0.27% -0.71%
3/3/2017 -0.75% -0.11%
3/2/2017 -0.70% -1.27%
3/1/2017 1.56% 1.94%
2/28/2017 -1.89% -1.51%
2/27/2017 0.53% 0.96%
2/24/2017 -0.09% -0.01%
2/23/2017 -0.53% -0.66%
2/22/2017 -0.22% -0.46%
2/21/2017 0.70% 0.75%
2/17/2017 0.22% 0.05%
2/16/2017 -0.74% -0.36%
2/15/2017 0.00% 0.54%
2/14/2017 0.22% 0.31%
2/13/2017 0.26% 0.25%
2/10/2017 0.49% 0.75%
2/9/2017 0.89% 1.46%
2/8/2017 -0.04% -0.17%
2/7/2017 -0.58% -0.41%
2/6/2017 -0.49% -0.81%
2/3/2017 0.94% 1.50%
2/2/2017 -0.09% -0.28%
2/1/2017 0.00% -0.04%
1/31/2017 0.45% 0.70%
1/30/2017 -0.75% -1.34%
1/27/2017 -0.22% -0.36%
1/26/2017 -0.70% -0.49%
1/25/2017 0.62% 0.97%
1/24/2017 1.21% 1.59%
1/23/2017 -0.27% -0.30%
1/20/2017 0.22% 0.45%
1/19/2017 -0.71% -0.94%
1/18/2017 0.00% 0.46%
1/17/2017 -0.79% -1.44%
1/13/2017 0.80% 0.81%
1/12/2017 -1.53% -0.89%
1/11/2017 0.62% 0.18%
1/10/2017 1.65% 0.99%
1/9/2017 -1.24% -0.72%
1/6/2017 -0.31% -0.34%
1/5/2017 -1.13% -1.15%
1/4/2017 1.73% 1.64%
1/3/2017 1.35% 0.62%
12/30/2016 -0.49% -0.44%
12/29/2016 0.13% 0.17%
12/28/2016 -1.28% -1.23%
12/27/2016 0.40% 0.45%
12/23/2016 0.36% 0.65%
12/22/2016 -0.88% -0.91%
12/21/2016 -0.40% -0.63%
12/20/2016 0.73% 0.90%
12/19/2016 0.52% 0.53%
12/16/2016 0.00% -0.15%
12/15/2016 0.30% 0.77%
12/14/2016 -1.20% -1.27%
12/13/2016 0.09% 0.03%
12/12/2016 -0.93% -1.08%
12/9/2016 0.00% 0.12%
12/8/2016 1.42% 1.60%
12/7/2016 0.87% 0.88%
12/6/2016 1.23% 1.11%
12/5/2016 1.83% 1.79%
12/2/2016 -0.09% 0.03%
12/1/2016 -0.27% -0.65%
11/30/2016 -0.09% -0.44%
11/29/2016 -0.04% -0.12%
11/28/2016 -0.71% -1.29%
11/25/2016 0.31% 0.38%
11/23/2016 0.36% 0.58%
11/22/2016 0.63% 0.92%
11/21/2016 0.63% 0.50%
11/18/2016 0.27% 0.47%
11/17/2016 0.68% 0.56%
11/16/2016 0.18% 0.00%
11/15/2016 0.60% 0.27%
11/14/2016 1.11% 1.26%
11/11/2016 2.37% 2.46%
11/10/2016 1.44% 1.58%
11/9/2016 2.41% 3.10%
11/8/2016 0.59% 0.24%
11/7/2016 1.82% 2.48%
11/4/2016 -0.70% 0.57%
11/3/2016 -0.40% -0.48%
11/2/2016 -0.64% -1.31%
11/1/2016 -0.88% -1.13%
10/31/2016 -0.20% 0.32%
10/28/2016 -0.20% -0.20%
10/27/2016 -1.54% -1.23%
10/26/2016 0.19% -0.93%
10/25/2016 -1.00% -0.84%
10/24/2016 0.48% 0.69%
10/21/2016 -0.24% -0.14%
10/20/2016 -0.52% -0.23%
10/19/2016 0.72% 0.44%
10/18/2016 0.53% 0.59%
10/17/2016 -0.29% -0.19%
10/14/2016 0.00% -0.27%
10/13/2016 -1.09% -0.94%
10/12/2016 0.19% -0.03%
10/11/2016 -1.64% -1.85%
10/10/2016 1.23% 1.15%
10/7/2016 -0.52% -0.78%
10/6/2016 -0.24% -0.17%
10/5/2016 1.14% 0.69%
10/4/2016 -0.85% -0.48%
10/3/2016 -0.24% -0.47%
9/30/2016 1.05% 1.12%
9/29/2016 -1.18% -1.43%
9/28/2016 1.19% 0.75%
9/27/2016 0.48% 0.44%
9/26/2016 -0.85% -1.09%
9/23/2016 -0.47% -0.70%
9/22/2016 1.58% 1.48%
9/21/2016 1.26% 1.36%
9/20/2016 -0.96% -0.34%
9/19/2016 0.19% 0.63%
9/16/2016 -0.34% -0.18%
9/15/2016 1.41% 1.27%
9/14/2016 -0.19% -0.06%
9/13/2016 -1.48% -1.91%
9/12/2016 1.31% 1.37%
9/9/2016 -2.83% -3.11%
9/8/2016 0.33% -0.21%
9/7/2016 0.71% 0.61%
9/6/2016 -0.14% 0.12%
9/2/2016 1.06% 0.97%
9/1/2016 -0.24% -0.01%
8/31/2016 -0.38% -0.49%
8/30/2016 0.14% 0.09%
8/29/2016 0.67% 0.56%
8/26/2016 -0.05% -0.16%
8/25/2016 0.29% 0.22%
8/24/2016 -0.67% -0.91%
8/23/2016 0.53% 0.71%
8/22/2016 -0.19% 0.24%
8/19/2016 -0.10% -0.01%
8/18/2016 0.82% 0.75%
8/17/2016 -0.48% -0.28%
8/16/2016 -0.62% -0.86%
8/15/2016 1.26% 0.98%
8/12/2016 -0.05% 0.06%
8/11/2016 0.68% 0.48%
8/10/2016 -0.58% -0.69%
8/9/2016 0.10% 0.11%
8/8/2016 0.05% -0.07%
8/5/2016 1.43% 1.45%
8/4/2016 0.05% 0.08%
8/3/2016 1.30% 0.86%
8/2/2016 -1.38% -1.38%
8/1/2016 -0.44% -0.07%
7/29/2016 0.10% 0.21%
7/28/2016 -0.25% -0.13%
7/27/2016 0.20% 0.17%
7/26/2016 0.94% 0.58%
7/25/2016 0.15% -0.25%
7/22/2016 0.65% 0.75%
7/21/2016 -0.40% -0.49%
7/20/2016 0.50% 0.77%
7/19/2016 -0.45% -0.62%
7/18/2016 0.50% 0.22%
7/15/2016 0.30% 0.26%
7/14/2016 0.40% 0.08%
7/13/2016 -0.50% -0.39%
7/12/2016 1.48% 1.33%
7/11/2016 0.98% 1.08%
7/8/2016 2.21% 2.40%
7/7/2016 0.53% 0.21%
7/6/2016 0.48% 0.69%
7/5/2016 -1.87% -1.50%
7/1/2016 0.73% 0.42%
6/30/2016 1.38% 1.79%
6/29/2016 1.51% 2.20%
6/28/2016 1.59% 1.62%
6/27/2016 -3.80% -3.36%
6/24/2016 -3.76% -3.81%
6/23/2016 1.65% 2.02%
6/22/2016 -0.21% -0.42%
6/21/2016 -0.15% -0.33%
6/20/2016 1.09% 1.14%
6/17/2016 0.42% -0.30%
6/16/2016 -0.05% -0.10%
6/15/2016 0.58% 0.13%
6/14/2016 0.05% -0.25%
6/13/2016 -1.35% -1.14%
6/10/2016 -1.63% -1.46%
6/9/2016 -0.61% -0.65%
6/8/2016 0.51% 0.76%
6/7/2016 0.31% 0.26%
6/6/2016 0.88% 1.09%
6/3/2016 -0.41% -0.55%
6/2/2016 0.21% 0.65%
6/1/2016 0.78% 0.71%
5/31/2016 0.16% 0.38%
5/27/2016 0.68% 0.94%
5/26/2016 -0.16% -0.11%
5/25/2016 0.68% 0.50%
5/24/2016 1.60% 2.15%
5/23/2016 0.21% -0.08%
5/20/2016 1.52% 1.60%
5/19/2016 -1.07% -0.74%
5/18/2016 0.38% 0.48%
5/17/2016 -1.17% -1.66%
5/16/2016 0.54% 1.25%
5/13/2016 -0.59% -0.56%
5/12/2016 -0.69% -0.55%
5/11/2016 -0.79% -1.25%
5/10/2016 0.63% 0.95%
5/9/2016 -0.16% 0.32%
5/6/2016 0.48% 0.61%
5/5/2016 -0.47% -0.47%
5/4/2016 -0.32% -0.77%
5/3/2016 -1.04% -1.68%
5/2/2016 0.16% 0.89%
4/29/2016 -0.47% -0.84%
4/28/2016 -1.23% -1.19%
4/27/2016 0.31% 0.30%
4/26/2016 1.35% 1.11%
4/25/2016 -0.47% -0.75%
4/22/2016 0.73% 0.96%
4/21/2016 -0.67% -0.57%
4/20/2016 -0.10% 0.18%
4/19/2016 0.52% 0.08%
4/18/2016 0.52% 0.74%
4/15/2016 0.26% 0.21%
4/14/2016 -0.42% -0.12%
4/13/2016 1.70% 2.19%
4/12/2016 0.80% 1.04%
4/11/2016 0.00% -0.27%
4/8/2016 -0.05% 0.41%
4/7/2016 -1.11% -1.44%
4/6/2016 0.75% 1.18%
4/5/2016 -0.69% -1.14%
4/4/2016 -0.89% -0.82%
4/1/2016 0.05% 0.33%
3/31/2016 0.05% 0.32%
3/30/2016 0.26% 0.12%
3/29/2016 1.71% 2.67%
3/28/2016 0.27% 0.06%
3/24/2016 0.11% 0.36%
3/23/2016 -1.74% -1.97%
3/22/2016 -0.63% -0.11%
3/21/2016 -0.16% -0.28%
3/18/2016 0.37% 0.95%
3/17/2016 1.06% 1.56%
3/16/2016 0.64% 0.73%
3/15/2016 -1.16% -1.62%
3/14/2016 -0.58% -0.30%
3/11/2016 1.39% 2.22%
3/10/2016 -0.42% -0.82%
3/9/2016 0.69% 0.46%
3/8/2016 -2.04% -2.40%
3/7/2016 1.11% 1.13%
3/4/2016 0.16% 0.55%
3/3/2016 0.91% 0.97%
3/2/2016 0.92% 1.06%
3/1/2016 1.48% 1.99%
2/29/2016 0.61% -0.32%
2/26/2016 0.95% 0.54%
2/25/2016 0.79% 0.93%
2/24/2016 0.85% 0.98%
2/23/2016 -0.23% -0.94%
2/22/2016 0.68% 1.16%
2/19/2016 -0.06% 0.53%
2/18/2016 -0.45% -0.63%
2/17/2016 1.20% 1.54%
2/16/2016 1.69% 2.45%
2/12/2016 1.60% 1.92%
2/11/2016 -0.76% -1.01%
2/10/2016 0.06% -0.04%
2/9/2016 -1.10% -0.56%
2/8/2016 -1.09% -1.65%
2/5/2016 -1.91% -2.87%
2/4/2016 0.85% 0.44%
2/3/2016 0.46% 0.14%
2/2/2016 -1.85% -2.28%
2/1/2016 -0.56% -0.29%
1/29/2016 3.34% 3.20%
1/28/2016 0.29% 0.05%
1/27/2016 -0.69% -1.50%
1/26/2016 2.17% 2.07%
1/25/2016 -2.29% -2.28%
1/22/2016 2.28% 2.34%
1/21/2016 0.41% -0.20%
1/20/2016 0.12% 0.45%
1/19/2016 -1.56% -1.28%
1/15/2016 -1.54% -1.75%
1/14/2016 1.15% 1.53%
1/13/2016 -2.47% -3.30%
1/12/2016 -0.06% 0.27%
1/11/2016 -0.67% -0.41%
1/8/2016 -1.65% -1.73%
1/7/2016 -2.83% -2.72%
1/6/2016 -1.21% -1.45%
1/5/2016 -0.47% 0.16%

5/2/2017 152.78
5/1/2017 152.46
4/28/2017 150.25
4/27/2017 147.70
4/26/2017 146.56
4/25/2017 146.49
4/24/2017 145.47
4/21/2017 143.68
4/20/2017 143.80
4/19/2017 142.27
4/18/2017 140.96
4/17/2017 141.42
4/13/2017 139.39
4/12/2017 139.58
4/11/2017 139.92
4/10/2017 141.04
4/7/2017 140.78
4/6/2017 141.17
4/5/2017 141.85
4/4/2017 141.73
4/3/2017 142.28
3/31/2017 142.05
3/30/2017 142.41
3/29/2017 142.65
3/28/2017 141.76
3/27/2017 140.32
3/24/2017 140.34
3/23/2017 139.53
3/22/2017 139.59
3/21/2017 138.51
3/20/2017 139.94
3/17/2017 139.84
3/16/2017 139.99
3/15/2017 139.72
3/14/2017 139.32
3/13/2017 139.60
3/10/2017 138.79
3/9/2017 138.24
3/8/2017 137.72
3/7/2017 137.30
3/6/2017 137.42
3/3/2017 137.17
3/2/2017 136.76
3/1/2017 137.42
2/28/2017 135.54
2/27/2017 136.41
2/24/2017 135.44
2/23/2017 135.36
2/22/2017 136.12
2/21/2017 133.72
2/17/2017 133.53
2/16/2017 133.84
2/15/2017 133.44
2/14/2017 133.85
2/13/2017 134.05
2/10/2017 134.19
2/9/2017 134.14
2/8/2017 134.20
2/7/2017 131.84
2/6/2017 132.06
2/3/2017 130.98
2/2/2017 130.84
2/1/2017 133.23
1/31/2017 130.32
1/30/2017 130.98
1/27/2017 132.18
1/26/2017 132.78
1/25/2017 131.48
1/24/2017 129.37
1/23/2017 128.93
1/20/2017 127.04
1/19/2017 127.55
1/18/2017 127.92
1/17/2017 127.87
1/13/2017 128.34
1/12/2017 126.62
1/11/2017 126.09
1/10/2017 124.35
1/9/2017 124.90
1/6/2017 123.41
1/5/2017 120.67
1/4/2017 118.69
1/3/2017 116.86
12/30/201 115.05
6
12/29/201 116.35
6
12/28/201 116.92
6
12/27/201 118.01
6
12/23/201 117.27
6
12/22/201 117.40
6
12/21/201 119.04
6
12/20/201 119.09
6
12/19/201 119.24
6
12/16/201 119.87
6
12/15/201 120.57
6
12/14/201 120.21
6
12/13/201 120.31
6
12/12/201 117.77
6
12/9/2016 119.68
12/8/2016 118.91
12/7/2016 117.95
12/6/2016 117.31
12/5/2016 117.43
12/2/2016 115.40
12/1/2016 115.10
11/30/201 118.42
6
11/29/201 120.87
6
11/28/201 120.41
6
11/25/201 120.38
6
11/23/201 120.84
6
11/22/201 121.47
6
11/21/201 121.77
6
11/18/201 117.02
6
11/17/201 117.79
6
11/16/201 116.34
6
11/15/201 117.20
6
11/14/201 115.08
6
11/11/201 119.02
6
11/10/201 120.80
6
11/9/2016 123.18
11/8/2016 124.22
11/7/2016 122.15
11/4/2016 120.75
11/3/2016 120.00
11/2/2016 127.17

## Primary Prospectus Benchmark Name Total Ret Annlzd 5 Yr (%)

Russell 2000 Growth TR USD 12.40
Russell 2000 TR USD 12.62
Russell 2000 Value TR USD 12.78
S&P 500 Growth TR USD 13.94
S&P 500 TR USD 13.60
S&P 500 Value TR USD 13.11