3. Consider the following data: Expected Return Standard Deviation Russell Fund Windsor Fund S&P Fund 16% 14% 12% 12% 10% 8% The correlation between the returns on the Russell Fund and the S&P Fund is .7. The rate on T-bills is 6%. Which of the following portfolios would you prefer to hold in combination with T-bills and why? (a) Russell Fund (b) Windsor Fund (c) S&P Fund (d) A portfolio of 60% Russell Fund and 40% S&P Fund.

he correlation between the returns on the Russell Fund and the S&P Fund is 0.7.The rate on T-bills is 6%.Question: Which of the following portfolios would you prefer to hold in combination with T-bills and why?a) WindRussell Fundb) Windsor Fundc) S&P Fundd) A portfolio of 60% Russell Fund and 40% S&P Fund.Expected Return Standard DeviationRussell Fund 16% 12%Windsor Fund 14% 10%S&P Fund 12% 8%

The average returns, standard deviation and betas for three funds and the S&P are given below. The risk-free rate is 3%. Use Fund A the risk-free asset to create a complete portfolio that has the same standard deviation as the market portfolio. What is the expected return of this complete portfolio?   Fund Avg. Return Std. Dev Beta A 16% 30% 1.1 B 18% 25% 1.2 C 22% 35% 1.3 S&P 500 14% 20% 1.0

You want to evaluate two mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 5.00%, and the average return on the market portfolio is 18.00%. The average returns, residual standard deviations, and betas for the three funds are given below. Average Return Fund A 18% Fund B 21% Residual Standard Deviation 4.00% 27% 1.25% 27% Standard Deviation What is Fund A's Sharpe Ratio? [Select] Beta 0.75 1.00 What is Fund A's Information Ratio? [Select]

Consider the following data:Expected Return Standard DeviationRussell Fund 16% 12%Windsor Fund 14% 10%S&P 500 Fund 12% 8%The correlation between the returns on the Russell Fund and the S&P 500 Fund is 0.7. The T-Bill rate is 6%. Which of the following portfolios would you prefer to hold in combination with T-bills and why?(a) Russell Fund(b) Windsor Fund(c) S&P 500 Fund(d) A portfolio of 60% Russell Fund and 40% S&P 500 Fund.

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The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 12.5% 25.4% 1.27 S&P 500 14% 6% 1 Risk-free 1.2%     Calculate the Sharpe measure of performance for Fund A.

An insurance fund is analysing the performance of three different fund managers A, B and C.  Each manager invests in one third of all asset classes to maintain a well diversified portfolio.   The following information is available:     A B C Market portfolio Average net return (%) 5 8 9 9 Volatility (%) 18 24 21 20 Beta 0.8 1.1 1.3     A risk free rate is established to be 2%.   Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha. Interpret your results.

The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14% 28.5% 1.7 S&P 500 17.6% 19.4% 1 Risk-free 4.8%       Calculate the Treynor measure of performance for Fund A. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places. Example: 0.1234

A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 8%. The characteristics of the risky funds are as follows: Stook fund (S) Bond fund (B) Expected Return 169 12 The correlation between the fund returns is 0.12. a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation Standard Deviation 38% 21 a-2. What are the expected value and standard pieviation of the minimum-variance portfolio rate of return? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Rate of Return