Consider the recent performance of the Closed Fund, a closed-end fund devoted to finding undervalued, thinly traded stocks: Period NAV Premium/Discount $10.10 0.0% 1. 11.75 -4.0 9.70 +2.8 10.15 -3.8 4 12.50 -7.3 Here, price premiums and discounts are indicated by pluses and minuses, respectively, and Period O represents Closed Fund's initiation date. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. a. Calculate the average return (geometric average) per period for an investor who bought 100 shares of the Closed Fund at the initiation and then sold her position at the end of Period 4. % b. What was the average periodic growth rate in NAV over that same period? % c. Calculate the periodic return for another investor who bought 100 shares of Closed Fund at the end of Period 1 and sold his position at the end of Period 2. d. What was the periodic growth rate in NAV between Periods 1 and 27

Consider the recent performance of the Closed Fund, a closed-end fund devoted to finding undervalued, thinly traded stocks: Period NAV Premium/Discount $10.10 0.0% 1. 11.75 -4.0 9.70 +2.8 10.15 -3.8 4 12.50 -7.3 Here, price premiums and discounts are indicated by pluses and minuses, respectively, and Period O represents Closed Fund's initiation date. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. a. Calculate the average return (geometric average) per period for an investor who bought 100 shares of the Closed Fund at the initiation and then sold her position at the end of Period 4. % b. What was the average periodic growth rate in NAV over that same period? % c. Calculate the periodic return for another investor who bought 100 shares of Closed Fund at the end of Period 1 and sold his position at the end of Period 2. d. What was the periodic growth rate in NAV between Periods 1 and 27

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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Consider the following table: Scenario Probability Stock FundRate of Return Bond FundRate of Return Severe recession 0.10 −43% −12% Mild recession 0.20 −17.0% 12% Normal growth 0.30 17% 6% Boom 0.40 31% 4% Required: a. Calculate the values of mean return and variance for the stock fund. (Do not round intermediate calculations. Round "Mean return" value to 1 decimal place and "Variance" to 4 decimal places.) b. Calculate the value of the covariance between the stock and bond funds
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: Expected Return 21% 13 Standard Deviation 36% 22 Stock fund (s) Bond fund (B) The correlation between the fund returns is 0.13. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. Note: Do not round intermediate calculations. Enter 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 4%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 19 % 34 % Bond fund (B) 10 18 The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best feasible CAL?
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
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You can assume that an Exchange-Traded Fund uses a value-weighted momentum strategy of buying winners and short-selling losers, and limits the universe to large & mid-cap stocks in order to reduce transactions costs. The fund does not use any other tools to mitigate transaction costs. In this case, what is the optimal rebalancing frequency for the momentum strategy? O A. Daily O B. Weekly OC. Monthly O D. Quarterly O E. Semi-annually OF. Annually O G. Momentum is a long-term strategy that does not need to be rebalanced every year.
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.)
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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 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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Calculate the values of mean return and variance for the stock fund. (Do not round intermediate calculations. Round "Mean return" value to 1 decimal place and "Variance" to 4 decimal places.)

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