Evaluating Investment Performance Assignment 1

Subject:- finance

Nn.155. Subject  :- Finance

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column (4). (1) (2) (3) (4) Actual Actual Benchmark Index Return Weight Weight Return Equity 16% 80% 60% 10% Bonds 9% 15% 35% 7% Cash 3% 5% 5% 1% What was the manager's return in the month? What was the benchmark's return in the month? Did the manager over or under perform the benchmark? a. Over perform b. Under perform c. Equal performance d. Cannot tell from the information given e. None of the above By how much did the manager over or under perform the benchmark? What is the contribution of security selection to relative performance? What is the contribution of asset allocation to relative performance?

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column (4).   1 2 2 4   Actual Weight Actual Return Benchmark Weight Benchmark Return Stocks 70% 19.7% 60% 14.5% Bonds 30% 11.6% 40% 8.9%   By how much did the manager overperform or underperform the benchmark? (Answer is a percentage) Make sure to use the negative sign if your answer is negative!

Question #4 Consider the following information regarding the performance of a money manager. The table presents the actual return of each sector of the manager’s portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocation in column (3), and the returns of the sector indexes in column 4.              (1) Actual return (2) actual weight (3) Benchmark Weight (4) Index Return Equity 3% 0.60 0.6 2.9 (S&P 500) Bonds 1.5% 0.25 0.3 1.2 (Bond Index) Cash 0.6% 0.15 0.1 0.45   1). What was manager’s return in the month? What was the over or underperformance? Show your calculations.               2). What’s contribution of security selection to the relative performance? Show your calculations.             Question #5 Lara Smith, CFA and CFP, has been reviewing current equity call prices for SemiCon and has noticed several discrepancies between several options prices…

The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations in column (3), and the returns of sector indexes in column (4).   1 2 2 4   Actual Weight Actual Return Benchmark Weight Benchmark Return Stocks 80% 6.8% 60% 13.2% Bonds 20% 4.6% 40% 6.6%   What is the contribution of asset allocation to relative performance? Make sure to use the negative sign if your answer is negative!

O Considering the following information regarding the performance of a portfolio manager in a recent quarter, (i) identify the Alpha of the manager's portfolio compared to benchmark (ii) identify the contributions of asset allocation and security selection to relative performance. Stocks Bonds Treasury bills Manager's Manager's Benchmark Benchmark Return Weight Relarn 1% 2% 2% 1.5% 0.75% 0.5% 0.50 0.30 0.20 weight 0.30 0.30 0.40

Example: Risk-adjusted performance appraisal measures The data in the table below has been collected to appraise the performance of four asset management firms: Performance Appraisal Data Fund 1 Fund 2 Fund 3 Fund 4 Market Index Return 6.45% 8.96% 9.44% 5.82% 7.60% Beta 0.88 1.02 1.36 0.80 1.00 Standard deviation 2.74% 4.54% 3.72% 2.64% 2.80% The risk-free rate of return for the relevant period was 3%. Calculate and rank the funds using ex post alpha, Treynor measure, Sharpe ratio, and M².

help please answer in text form with proper workings and explanation for each and every part and steps with concept and introduction no AI no copy paste remember answer must be in proper format with all working

Review the table below listing performance metrics for selected assets. The metrics are defined in the same way as in CAPM   Return  risk  beta riskless asset  4% 0% 0 Market Portfolio  9% 24% 1 Fund A 8% 33% 0.4 Fund B 11% 30% 1.5

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 4.5 6.5 7 6.5 7.5 8 8.5 8.5 13.5 12.5 10 18.5 14.5 a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places. Average annual return Standard deviation of returns Semi-deviation of returns Manager X % % % Manager Y % % % b. Assuming that the average annual risk-free rate during the 10-year sample period was 3.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your answers to three decimal places. Sharpe ratio (Manager X): Sharpe ratio (Manager Y): Based on Sharpe ratio -Select- )…

2.1. Performance measures. For each hedge fund style, calculate and interpret the following performance measures a. Annualized arithmetic average return b. Annualized geometric average return c. Annualized volatility of excess returns d. Annualized Sharpe ratio e. Market beta f. Annualized alpha to the market g. Annualized Information ratio h. Maximum drawdown i. Skewness of monthly excess returns j. Excess kurtosis of monthly excess returns 2.2. Cumulative return and drawdown. Make the following plots for Global Macro Hedge Fund index a. The cumulative return b. The drawdown i would need help on how to find these in excel . This is advanced portfolio management

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 2 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 6 4.5 6.5 7 6.5 7.5 8 8.5 8.5 9 13.5 12.5 10 17.5 13.5   a.    For each manager, calculate the average annual return, the standard deviation of returns, and the semi-deviation of returns.   b.    Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best?   c.     Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best?   d.    When would you expect the Sharpe and…

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade:   Year Manager X Return (%) Manager Y Return (%) 1   -2.5   -6.5   2   -2.5   -5.5   3   -2.5   -2.0   4   -2.0   4.0   5   0.0   5.5   6   5.5   6.5   7   7.5   7.5   8   9.5   8.5   9   13.5   12.5   10   18.5   14.5     For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places.     Average annual return Standard deviation of returns Semi-deviation of returns Manager X   %   %   % Manager Y   %   %   %   Assuming that the average annual risk-free rate during the 10-year sample period was 1.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your…

Review the table below listing performance metrics for selected assets. The metrics are defined in the same way as in CAPM. Compute the CAPM alpha for the four assets (data attached as image).

Excel Questions 1) What would happen to the contribution of asset allocation to overall performance if the actual weights had been 75/12/13 instead of 70/7/23? Explain your result. 2) What would happen to the contribution of security selection to overall performance if the actual return on the equity portfolio had been 8.28% instead of 7.28% and the return on the bond portfolio had been .89% instead of 1.89%? Explain your result.

which of the following past returns should mutual funds publish in their annual reports? A.Excess return B.Geometric average return C.Arithmetric average return D.Index return

Excel Questions 1) What would happen to the contribution of asset allocation to overall performance if the actual weights had been 75/12/13 instead of 70/7/23? Explain your result.   2) What would happen to the contribution of security selection to overall performance if the actual return on the equity portfolio had been 8.28% instead of 7.28% and the return on the bond portfolio had been .89% instead of 1.89%? Explain your result. Below is the Table of Actual Weights at 70/7/23 Performance Attribution                  Bogey   Bogey Portfolio   Benchmark Return on Portfolio   Component Index Weight Index Return   Equity S&P 500 0.6 5.81% 3.4860%   Bonds Aggregate Index 0.3 1.45% 0.4350%   Cash Money Market 0.1 0.48% 0.0480%                     Return on Bogey 3.9690%                   Actual   Managed   Managed Portfolio   Portfolio Actual   Portfolio    Component   Weight Return Return   Equity   0.70 7.28% 5.0960%   Bonds   0.07 1.89% 0.1323%…

5. You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Manager X Return (%) Manager Y Return (%) Year -6.5 -1.5 -1.5 -3.5 -1.5 3 -1.5 4 -1.0 3.5 0.0 4.5 4.5 6.5 6.5 7.5 8.5 8.5 13.5 12.5 10 17.5 13.5 a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. b. Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? c. Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best? d. When would you expect the Sharpe and Sortino measures to provide (1) the same per- formance ranking or (2) different performance rankings? Explain.

What is the expected return on assets on this financial accounting question?

Consider the following table which provides a comparison of the returns for a portfolio and its benchmark. Year 0 1 2 3 4 5 Return Alpha Sum Tracking Error Information Ratio Note: the numbers in red are negative b. Calculate the portfolio alpha in percentage terms c. Calculate the tracking error of the portfolio in percentage terms Portfolio Return 16% 9% -35% 22% 84% Required a. Calculate the annualised return of the portfolio and the benchmark in percentage terms d. Calculate the information ratio of the portfolio to 2 decimal places e. Determine to 2 decimal places the amount of Carhart alpha for the portfolio in percentage terms if: o the risk-free rate is 3.25%, o the return of the market is 9.20%, o the exposure to the value factor (when the premium is 3.15%) is 0.65 (ie 65%), o the exposure to the small cap factor (when the premium is 2.05%) is -0.12, and o the exposure to the momentum factor (when the premium is 46%) is 0.1. Benchmark Return 14% 7% -38% 18% 86%

Portfolio Management A particular firm’s portfolio is composed of two assets, which we will call" A" and "B." Let X denote the annual rate of return from asset A, and let Y denote the annual rate of return from asset B. Suppose that E(X) = 0.15, E(Y) = 0.20, SD (X) = 0.05, SD (Y) = 0.06, and CORR (X, Y) = 0.30.  (a) What is the expected return of investing 50% of the portfolio in asset A and 50% of the portfolio in asset B? What is the variance of this return?  (b) Replace CORR (X, Y) = 0.30 by CORR (X, Y) = 0.60, 0, -0.30, and -0.60 and answer the questions in part (a). What is the impact of correlation on the expected returns and its variance? Explain why this is so.  (c) Suppose that the fraction of the portfolio that is invested in asset B is f, and so the fraction of the portfolio that is invested in asset A is (1 – f). Let f vary from f = 0.0 to f = 1.0 in increments of 5% (that is, f = 0.0, 0.05, 0.10, 0.15, ...), and compute the mean and the variance of the annual rate of…

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OA Graphical derivation of beta A firm wishes to estimate graphically the betas for two assets, A and B. It has gathered the return data shown in the following table for the market portfolio and for both assets over the last 10 years, 2009-2018: a. Which of the following graphs represents the graphical derivation of beta for assets A and B? b. Use the characteristic lines from part a to estimate the betas for assets A and B. c. Use the betas found in part b to comment on the relative risks of assets A and B. a. Which of the following graphs represents the graphical derivation of beta for assets A and B? (Select the best answer below.) Asset Return (% Beta Derivation 20 15 20-150 540 15 20 -10- --15- Asset A Asset B 20 OC. Market Retum (%) Beta Derivation 20- 15 Asset Return (%) 10- 15 20 5 -10 -15 G -20 Asset A Asset B Market Return (%) b. Using the characteristic lines from part a, which of the following pairs of data represents the beta estimates for assets A and B? (Select the best…

Using the stock price data for any two companies provided below carry out the following tasks:  1.Compute, for each asset:  i.Total Returns  ii.Expected returns  iii.standard deviation  iv.Correlation Coefficient  2.Construct the variance-covariance matrix  3.Construct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio.  4.Reconstruct equally weighted portfolio and calculate Expected Return, Standard Deviation and Sharpe ratio.  5.Use Solver to determine optimal risky portfolio.  6.Create hypothetical portfolios (commencing from Weight A=0 and weight B=100)  7.Calculate Expected return and Standard Deviation for all the above combinations  8.Graph the efficient frontier  9.Graph the optimal portfolio  10.Assuming that the investors prefers lower level of risk than what a portfolio of risky assets offer, introduce a risk free asset in the portfolio with a return of 3%  11.Using hypothetical weights (A= Portfolio of Risky Assets, B= 1 Risk Free…