harpe’s ratio of the Fund A is 1.5, if the beta of Fund A is 1.2, and risk of the fund is 10, Treynor’s index for the same fund is a. 11.5 b. 13.75 c. 12.5 d. 15
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A: Correlation: 0.3Standard deviation of bond: 8%Standard deviation of stock: 20%
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A: FundExpected ReturnStandard DeviationStock Fund24%28%Bond Fund 11%14%Correlation0.2
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A: Alpha = 2.7% = 0.027Information Ratio = 0.45
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A: Solution:Load means the entry/exit charges charged by the mutual fund.
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A: Share Measure of Performance of Fund A Sharpe Measure means the Amount of return per unit of risk.…
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A: Jensen's alpha = Average return less CAPM return of stock
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Q: covariance of returns
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A: treynor ratio = (expected return - risk free rate) / beta
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A: treynor ratio =rA-rfβA where, rA=return of stock Arf=risk free rateβA=beta of stock A
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A: The annual maintenance expanses charged by mutual funds to finance its expenses is called expanse…
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A: Sharpe ratios is calculated as excess return over the risk free rate divided by the standard…
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A: Expected Return: The anticipated gain or loss from an investment, calculated as the weighted average…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Risk-free rate = 8% Expected return on stock fund = 19% Expected return on bond fund = 12%…
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A: The question is based on the concept of Portfolio management
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- Đ The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha, Treynor measure, Sharpe ratio and M Fund 4 5.82% Market Index 7.60% Fund 1 Fund 2 Fund 3 Return 6.45% 8.96% 9.44% 0.88 1.02 1.38 0.80 1% Beta Std. dev. 2.74% 4.54% 3.72% 2.64% 2.80%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 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.Solve the problems listed below. Show your solution and box the final answer. (bond or yellow paper) 1. A fund is set up to charge a load. Its net asset value is P16.50 and its offer price is P17.30. A. How much is the commission of the load? B. What percentage of the offer price does the commission represent? C. What percentage of the net asset value does the commission represent? D. Assume the fund increased in value by .30 the first month after you purchased 100 shares. What is the total gain or loss? Compare the total current value with the total purchase amount. E. By what percentage would the net asset value of the shares have to increase for you to break even? 2. Under peso-cost averaging, an investor will purchase P6,000 worth of stock each year for three years. The stock price is P40 in year 1, P30 in year 2 and P48 in year 3. A. What is the share purchased in every year? B. Compute the average price per share. C. Compute the average cost per share. 3. Under peso-cost…
- 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 workThe 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: 1.2345An insurance fund is analysing the performance of three different fund managers A, B and C. Each manager invests in one third of all asset classes to maintain a well diversified portfolio. The following information is available: A B C Market portfolio Average net return (%) 5 8 9 9 Volatility (%) 18 24 21 20 Beta 0.8 1.1 1.3 A risk free rate is established to be 2%. Calculate for each of the fund managers the expected return using CAPM, ex post Sharpe Ratio, Treynor Ratio, M2 alpha and Jensen’s alpha. Interpret your results.
- 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 25.7% 29% 1.3 S&P 500 17.9% 20% 1 Risk-free 3.8% Calculate the M2 measure of performance for Fund A. Use the correct sign if the answer is negative! Example: -1.23In the following exercise, separate the investments according to the type of Keynesian demand they are: Transactions (0% to 5%), Precautionary (6% to 9%), and Speculative demand (greater than 10%). Investment in each category has the same risk. So you want to invest in the highest return for the same risk. Take each demand type and choose the highest return and put that amount into the investment. For example, if Bond fund A has a return of 4% and Fund B has a return of 5%, they have the same risk, so you would put $70 into bond fund B. You have the following investments Opportunities ad returns. Fidelity Bonds 11% Fidelity Magellan 9% Putman Bonds one 4% Putman bonds Two 12% Growth Stock One 15% Growth and Income 8% Income Fund 3% Putman Growth…An investor considers two mutual funds. Based on past experience, the first fund has an expected return of 0.08 and a standard deviation of 0.05. The second fund has an expected return of 0.07 and a standard deviation of 0.06. There is no reason to assume that future performance of these funds will differ from past performance. However, the second fund has a guarantee attached that the return in any year will not be negative.RequiredA. Which fund would a rational investor be likely to buy according to single-person decision theory?B. The investor buys the second fund. Use prospect theory to explain why.
- 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 AverageA 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) 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…
