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You are a fund manager who has been given the following portfolio:
Delta exposure: — Gamma exposure: -7000 Vega exposure: 6,000
You have access to the following two options
Option A: Delta: 2.8 Gamma: 1.4 Vega: 2.0
Option B: Delta: 1.2 Gamma: 0.7 Vega: 1.5
A) Calculate the number of option A and Option B contracts to make your portfolio gamma and Vega neutral
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- 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 4%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation 234 14 294 17 Stock fund (5) Bond fund (8) The correlation between the fund returns is 0.12. You require that your portfolio yield an expected return of 12%, and that it be efficient, that is, on the steepest feasible CAL a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places) Standard deviation b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Money market fund Stocks Bonds Proportion Invested *** Check my workSuppose you are the money manager of a $5.26 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 580,000 1.50 B 800,000 (0.50) C 980,000 1.25 D 2,900,000 0.75 If the market's required rate of return is 9% and the risk-free rate is 5%, what is the fund's required rate of return?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 6%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 24% 14 Standard Deviation 33% 22 The correlation between the fund returns is 0.14. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below.
- 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 0.93. Year 2018 2019 2020 2021 2022 Fund -16.408 25.10 13.20 6.20 -1.68 Market -32.50% 20.30 11.80 8.00 -3.20 Jensen's alpha Information ratio Risk-Free 38 4 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 5 %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 %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) Expected Return 20% 12 Standard Deviation 30% 15 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Complete this question by entering your answers in the tabs below. Required A Required B What is the standard deviation of your portfolio? Note: Round your answer to 2 decimal places. Standard deviation 0.15%
- 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 5%. The characteristics of the risky funds are as follows: Stock fund (5) Bond fund (8) Standard deviation Expected Return 20% 11 The correlation between the fund returns is 0.09. You require that your portfolio yield an expected return of 12%, and that it be efficient, that is, on the steepest feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Money market fund Stocks Bonds Standard Deviation 35% 15 % b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion Invested IA 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: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. a. What is the standard deviation of your portfolio? (Round your answer to 2 decimal places.) Standard deviation Expected Return Standard Deviation 198 31% 23 14 Money market fund Stocks Bonds 19.33 % b. What is the proportion invested in the money market fund and each of the two risky funds? (Round your answers to 2 decimal places.) Proportion InvestedA 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) Expected Return 17% Standard Deviation 38% 13 18 The correlation between the fund returns is 0.12. 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? Complete this question by entering your answers in the tabs below. Req A1 Req A2 What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Expected return Standard deviation
- ok int rences 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: Stock fund (S) - Bond fund (B) Expected Return 19% 14 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. Standard Deviation 31% 23 Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Required A Complete this question by entering your answers in the tabs below. Required B Money market fund Stocks Bonds What is the proportion invested in the money market fund and each of the two risky funds? Note: Round your answers to 2 decimal places. Proportion Invested % % %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 0.93. Year 2018 2019 2020 2021 2022 Fund -23.60% 25.10 14.40 7.00 -2.40 Market -44.50% 21.50 15.40 Jensen's alpha Information ratio 9.20 -6.20 Risk-Free 18 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 2 6 %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: Standard Deviation Stock fund (S) Bond fund (B) 30% 15 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Expected Return 20% 12 Complete this question by entering your answers in the tabs below. Required A Money market fund Stocks Bonds Required B What is the proportion invested in the money market fund and each of the two risky funds? Note: Round your answers to 2 decimal places. Proportion Invested % %
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