EOC Problems 9-10 eBook Problem 9-10 Performance Ranking Consider the portfolios from the following table: Portfolio Excess Return Standard Deviation Beta Blue 10.00% 20.00% 0.90 Green 11.00% 22.00% 1.15 Red S & P 500 7.00% 19.00% 0.80 9.50% 18.500% 1.00 A) What is the Treynor Index and Sharpe ratio for the Blue portfolio? The Treynor index is and the Sharpe ratio is Round your answer to two decimal places. B) What is the Treynor Index and Sharpe ratio for the Green portfolio? The Treynor index is and the Sharpe ratio is Round your answer to two decimal places. C) What is the Treynor Index and Sharpe ratio for the Red portfolio? The Treynor index is and the Sharpe ratio is Round your answer to two decimal places. D) What is the Treynor Index and Sharpe ratio for the S & P 500 portfolio? The Treynor index is and the Sharpe ratio is Round your answer to two decimal places. Question 5 of 15

QUESTION 12 Use the table below to answer questions 12 through 15. What is the portfolio tracking error? O A. 81.35 basis points OB. 86.35 basis points O C. 83.35 basis points D. 80.35 basis points Month January February March April May June July August September October November December Portfolio A's Return (%) 2.15 0.89 1.15 -0.47 1.71 0.10 1.04 2.70 0.66 2.15 -1.38 -0.59 Benchmark Index Return (%) 1.65 -0.10 0.52 -0.60 0.65 0.33 2.31 1.10 1.23 2.02 -0.61 -1.20

Investment Standard Assets Expected return Correlation Beta weight Deviation Asset A 15.00% 30.00% 45.00% Corr A.B = 0.60 1.21 Asset B 45.00% 24.00% 20.00% Corr A.C = -0.45 1.17 Asset C 40.00% 16.00% 15.00% Corr B.C = 0.24 0.65 Questions 1. Calculate expected return of portfolio with all 3 risky assets 2. Calculate Standard deviation of portfolio with all 3 risky assets 3. Assume you sell out Asset A, and replace it with T-Bill, using the same investment weight. Calculate expected return of portfolio of T-Bill and 2 risky assets (Asset B, and C) Answers % % % 4. Assume you sell out Asset A, and replace it with T-Bill, using the same investment weight. Calculate standard deviation of portfolio of T-Bill and 2 risky assets (Asset B, and C) % 5. Calculate beta of portfolio with all 3 risky assets (round to 2 digits after decimal). 6. Use CAPM, calculate required rate of return of all 3 risky assets. 7. Use CAPM, assume you add a new asset, Asset D, into portfolio. You adjust your…

USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S) Asset (A) Asset (B) E(RA)=10% E(RB) = 15% (σA)=8% (GB) = 9.5% WA = 0.25 WB = 0.75 COVA.B = 0.006 What is the standard deviation of this portfolio? O 13.75% O 8.79% O 12.5% O 7.72%