b) The risk-free rate in Australia in Jun 2022 was 3.37%. Based on the following information for three different funds A, B and C in Australia. Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. Fund Market Fund A Fund B Average return (%) 6.95 9.50 8.65 Variance(%) 102.21 179.16 Beta 0.88 1.35

b) The risk-free rate in Australia in Jun 2022 was 3.37%. Based on the following information for three different funds A, B and C in Australia. Calculate the Coefficient of variation, Sharpe and Jensen Indices of performance for these funds and interpret the results. Fund Market Fund A Fund B Average return (%) 6.95 9.50 8.65 Variance(%) 102.21 179.16 Beta 0.88 1.35

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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Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 (0.80) 4% X Answer is complete but not entirely correct. Information ratio Market Portfolio Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) 10% 21% 1 0%
ABC Company is using net present value analysis at various discount rates in order to determine the internal rate of return of an investment proposal. NPV using a discount rate of 12 percent = $2,095 NPV using a discount rate of 14 percent = $(2,108) By interpolating these results, an approximate internal rate of return on the investment is estimated to be percent. (Round your answer to the nearest whole percentage.)
Investor has had the following returns in the Magic Fund for the past 4 years: 15%, 25%, -30%, 18%. c) State whether the annual geometric return (assume positive) should be higher, lower, or the same as the annual arithmetic return. Neither calculation nor explanation is necessary. d) State which measure, annual arithmetic return or annual geometric return, better represents how an investment performed over time. Neither calculation nor explanation is necessary.
This question assumes the standard mean-variance utility function. You are allocating your investments between a the NZX50 and a holding of (New Zealand) T-bills. The expected return on the NZX50 is 7.50%, with volatility 12.80%. In contrast, there is no risk investing in T-bills, and they will earn you a return of 4.70%. Your risk-aversion is 7. What percentage of your wealth should you allocate to Treasury bills? 34.61% 96.88% 96.51% 75.59%
Unit 8-1
You became a fund manager in UAlbany Bank. After research, you pulled up two potential assets to invest. The assets' anticipated gains per share next year are: Asset 1, 324 Asset 2,324 Asset 1, 14 Probability Which asset is riskier and what is its variance per share? Asset 2, 14 0.40 0.40 0.20 Asset 1 -$10 $20 $35 Asset 2 $10 $15 $5
Rank the following risky investment projects based on stochastic dominance. Project P Project Q Payoff Probability Payoff Probability 20 0.3 30 0.25 40 0.4 50 0.25 70 0.2 60 0.25 80 0.1 90 0.25
Rahul
In the above $110K allocation problem, you decided to allocate 30% weight in A, 50% weight in B, 20% weight in C, and you want to find its AVG return. Which of the following is the appropriate method to find the mean (AVG) return on the $100K fund invested? a. Weighted Average (WAVG ) b. Simple Average c. Geometric Average d. Arithmetic Average
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?
Answer the following lettered questions on the basis of the information in this table: a. If the interest-rate cost of funds is 8 percent, what will be the optimal amount of R&D spending for this firm?b. Explain why $20 million of R&D spending will not be optimal.c. Why won’t $60 million be optimal either?

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