An investor owns a portfolio consisting of two mutual funds, A and B, with 35% invested in A. The following table lists the inputs for these funds. Measures Expected value Variance Covariance Fund A 19 91 Fund B 13 37 26 a. Calculate the expected value for the portfolio return. (Round your answer to 2 decimal places.) Expected value 15.10 b. Calculate the standard deviation for the portfolio return. (Round intermediate calculations to at least 4 decimal places. Round your final answer to 2 decimal places.)

An investor owns a portfolio consisting of two mutual funds, A and B, with 35% invested in A. The following table lists the inputs for these funds. Measures Expected value Variance Covariance Fund A 19 91 Fund B 13 37 26 a. Calculate the expected value for the portfolio return. (Round your answer to 2 decimal places.) Expected value 15.10 b. Calculate the standard deviation for the portfolio return. (Round intermediate calculations to at least 4 decimal places. Round your final answer to 2 decimal places.)

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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You want to evaluate three mutual funds using the Sharpe measure for performance evaluation. The risk-free return during the sample period is 4%. The average returns, standard deviations, and betas for the three funds are given below, as are the data for the S&P 500 Index. Average Return Standard Deviation Beta Fund A 18 % 38 % 1.6 Fund B 15 % 27 % 1.3 Fund C 11 % 24 % 1.0 S&P 500 10 % 22 % 1.0 The fund with the highest Sharpe measure is
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .98. Year 2015 2016 Fund -23.60% Market -44.50% Risk-Free 1% 25.10 21.50 3 2017 14.40 15.40 2 2018 2019 7.00 -2.40 9.20 -6.20 6 2 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Jensen's alpha Information ratio %
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%
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).
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 7%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 23% 28% Bond fund (B) 15 17 The correlation between the fund returns is 0.12. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Write your answers as decimals rounded to 4 places.)
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: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.11. Expected Return 19% 12 Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Req A1 Complete this question by entering your answers in the tabs below. Reg A2 What are the investment proportions in the minimum-variance portfolio of the two risky funds? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Portfolio invested in the stock Portfolio invested in the bond Standard Deviation 32% 15 Req A1 A pension fund manager is considering three mutual funds. The…
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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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