For a well diversified portfolio, ranking of portfolios as per Sharpe’s measure and Treynor’s measure a. Will be different b. Will be identical c. Can’t say d. Ranking as per Sharpe will be more accurate
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- Only typed answer Assume the correlation of returns between KO and the market portfolio equals 0.80, the standard deviation of KO equals 0.60, and the standard deviation for the market portfolio equals 0.30. What is the beta for KO.PLS HELP ASAP ON BOTHThe table uses the standard deviation of the portfolio's return as a measure of risk. A normal random variable, such as a portfolio's return, stays within two standard deviations of its average approximately 95% of the time. Suppose Valerie modifies her portfolio to contain 75% diversified stocks and 25% risk-free government bonds; that is, she chooses combination D. The average annual return for this type of portfolio is 13%, but given the standard deviation of 15%, the returns will typically (about 95% of the time) vary from a gain of to a loss of
- 1. Which of the following is INCORRECT? a All of a stock's risk could be unsystematic. b. A negative beta stock has an expected return less than the risk-free rate. c. Anticipated returns on any given stock are always greater than 0. d. Two assets with a correlation of -1 could be combined to create a portfolio with a standard deviation of zero (no risk). 2. Which of the following measures the total risk of a portfolio? a. Beta b. Standard Deviation c. Correlation Coefficient d. Alpha 3. Which of the following stocks have the highest systematic risk? a A stock with high correlation to the market and high returm volatility. b. A stock with low correlation to the market and a high return volatility. c A stock with high correlation to the market and a low return volatility. d. A stock with low correlation to the market and a low return volatility. 4. Which of the following companics have the lowest systematic risk? a A company that sells soups (Campbells), beta=0.60 b. A coffee company…You have decided to invest in an open-end mutual fund. You are currently looking at a fund-Washington Premier Fund-in your newspaper. The fund is quoted as: Name NAV Net Chg YTD %RET 36.25 0.15 6.95 Assume that today's opening price of Washington Premier Fund equals yesterday's closing price. If you wanted to make your investment first thing this morning, then you should expect to pay for each share of since it Yesterday, each share of sold for $35.95 $43.50 $36.25 $34.44 $0.15 less $0.15 more $6.95 less $6.95 more If you had $8,000 available to invest, you could purchase than it did the day before, and offers a return of 294 368 assesses a 0.15% fee 276 shares of. is a no-load fund charges a 6.95% fee 221 Your evaluation of the Washington Premier Fund is made easier by the fact that: your investment choices are limited. mutual funds are careful to explicitly state their investment objectives. a mutual fund broker will select a customized mix for you. 0.15% 36.25% 6.95% for the year.Please no written by hand Meagan Davies manages a portfolio of 200 common stocks. Her staff classified the portfolio stocks by 'industry sector' and 'investment objective'. Investment Objective Industry Sector Total Electronics Healthcare Airlines Growth 100 5 35 140 Income 40 15 5 60 Total 140 20 40 200 Which of the following is NOT true? Select one: Growth and Income are complementary events. Electronics and Growth are dependent. Electronics and Healthcare are mutually exclusive. Airlines and Healthcare are collectively exhaustive. All the answers are not true.
- 24 - As the number of securities in a portfolio is increased, what happens to the average portfolio standard deviation? a) O It increases at a decreasing rate. b) It first decreases, then starts to increase as more securities are added. c) O It decreases at an increasing rate. d) O It increases at an increasing rate. e) O It decreases at a decreasing rate.part 3 4 5Given the following information, what is the standard deviation of the returns on a portfolio that is invested 35 percent in both Stocks A and C, and 30 percent in Stock B? (see attached chart)
- Suppose Caroline is choosing how to allocate her portfolio between two asset classes: risk-free government bonds and a risky group of diversified stocks. The following table shows the risk and return associated with different combinations of stocks and bonds.CombinationFraction of Portfolio in Diversified StocksAverage Annual ReturnStandard Deviation of Portfolio Return (Risk)(Percent)(Percent)(Percent)A 0 1.50 0B 25 3.00 5C 50 4.50 10D 75 6.00 15E 100 7.50 20There is a relationship between the risk of Caroline's portfolio and its average annual return.Suppose Caroline currently allocates 75% of her portfolio to a diversified group of stocks and 25% of her portfolio to risk-free bonds; that is, she chooses combination D. She wants to reduce the level of risk associated with her portfolio from a standard deviation of 15 to a standard deviation of 5. In order to do so, she must do which of the following? Check all that apply. Sell some of her stocks and use the proceeds to purchase…D&R A3 6-1 Question 6. VAR Calculation A firm has a portfolio composed of stock A and B with normally distributed returns. Stock A has an annual expected return of 15% and annual volatility of 20%. The firm has a position of $100 million in stock A. Stock B has an annual expected return of 25% and an annual volatility of 30% as well. The firm has a position of $50 million in stock B. The correlation coefficient between the returns of these two stocks is 0.3. What is the 5% daily VAR for the portfolio? Assume 365 days per year.D&R A3 6-1 Question 6. VAR Calculation A firm has a portfolio composed of stock A and B with normally distributed returns. Stock A has an annual expected return of 15% and annual volatility of 20%. The firm has a position of $100 million in stock A. Stock B has an annual expected return of 25% and an annual volatility of 30% as well. The firm has a position of $50 million in stock B. The correlation coefficient between the returns of these two stocks is 0.3. Compute the 5% annual VAR for the portfolio. Interpret the resulting VAR.
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