6. Fund A Fund B Expected Ret. E(r) 13.4 % . 10.8% Standard Deviation - 13 %. 15.8% The table above contains expected annual returns for funds A and B. Assuming that the risk free rate is 2.55% and that the correlation of returns between funds A and B is -0.18, calculate the weight of Fund A in the minimum - variance two - risky asset portfolio comprised of funds A and B.

6. Fund A Fund B Expected Ret. E(r) 13.4 % . 10.8% Standard Deviation - 13 %. 15.8% The table above contains expected annual returns for funds A and B. Assuming that the risk free rate is 2.55% and that the correlation of returns between funds A and B is -0.18, calculate the weight of Fund A in the minimum - variance two - risky asset portfolio comprised of funds A and B.

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Similar questions

Đ The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha, Treynor measure, Sharpe ratio and M Fund 4 5.82% Market Index 7.60% Fund 1 Fund 2 Fund 3 Return 6.45% 8.96% 9.44% 0.88 1.02 1.38 0.80 1% Beta Std. dev. 2.74% 4.54% 3.72% 2.64% 2.80%
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 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.
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% 24% 1.21 S&P 500 17.4% 19.4% 1 Risk-free 5.1% Calculate the Treynor measure of performance for the S&P 500. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places.Example: 1.2345
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 25.7% 29% 1.3 S&P 500 17.9% 20% 1 Risk-free 3.8% Calculate the M2 measure of performance for Fund A. Use the correct sign if the answer is negative! Example: -1.23
Consider the following risk-return characteristics for funds A and B: Expected return Risk Fund A (Equity) 12% 20% Fund B (Debt) 9% 16% The correlation coefficient between the returns of fund A and fund B is 0.4. 1. Which Fund is riskier? Write 1 if your answer is Fund A, write 2 if your answer is Fund B, or write 3 if your answer is undetermined. 2.1 What is the weight of fund A in the minimum variance portfolio? 2.4 What is the risk of the minimum variance portfolio? 2.2 What is the weight of Fund B in the minimum variance portfolio? 2.3 What is the expected return of the minimum variance portfolio?
Compute the (a) expected return, (b) standard deviation, and (c) coefficient of variation for investments with the following probability distributions: (LO 8-2) Probability rA rB 0.3 30.0% 5.0% 0.2 10.0 15.0 0.5 - 2.0 25.0
Calculate the risk (standard deviation) of a 2-asset portfolio, in which asset A has a variance of return = 0.112, asset B a variance of return = 0.045, and the convariance between the return of 2 assets is = 0.102. asset A comprises 60% ans asset B comprises 40% of the total portfolio. Give your answer 0.000.
You have estimated the single index model (SIM) fund B and found that its alpha and beta are 0.035 and 1.1 respectively. The standard deviation of Fund B's excess returns is 30% and the market portfolio excess returns have a standard deviation of 20%. What's the information ratio of Fund B?
Q6. ) A portfolio is formed by investing 32% in Asset-1; 28% in Asset-2; and 40% in Asset-3. The covariances of the three assets with the market portfolio are 24, 36, and 48. The variance of the market portfolio is 40. If the risk - less rate is 7.5%, and the expected return on the market portfolio is 12.5%, what is the expected return of this portfolio, assuming that the CAPM is valid?
Asset X has an expected return of 6% and a variance of 0.001. Asset Y has an expected return of 12% and the same variance as X (i.e., 0.001). The returns of assets X and Y are uncorrelated, and the risk-free rate is 3%. Find the variance of the highest Sharpe ratio portfolio that can be formed of the two risky assets X and Y.
An investor is evaluating the historical performance of an investment fund. The following annual returns are provided to the investor: Fund Value Year 0 $120 Year 1 132 Year 2 146 Year 3 133 Year 4 128 Year 5 123 Required: a. Calculate the investment returns for each year. b. Compute the arithmetic mean return. c. Calculate the geometric mean return.
a) Calculate Sharpe's measure of performance for Wildcat Fund. b) Calculate Treynor's measure of performance for Wildcat Fund.

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