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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please post cell reference
Transcribed Image Text:---
**Portfolio and Investment Analysis**
Suppose you manage an equity fund with the following securities. A client invests partially in your fund and partially in Treasury Bills.
### Portfolio Composition
| **Security** | **Expected Return** | **Percent of Portfolio** |
|----------------------------------|---------------------|--------------------------|
| Burfleet Enterprises | 9.50% | 15% |
| Majrax Brothers, Incorporated | 13.50% | 20% |
| Uth Matar Limited | 14.50% | 10% |
| Lance Medical Supplies | 16.50% | 35% |
| Starbreeze Jetlines | 18.50% | 20% |
### Market Data
| **Market Instrument** | **Rate of Return** | **Standard Deviation** |
|-----------------------|--------------------|------------------------|
| Treasury Bills | 2.50% | 0.00% |
| S&P 500 | 12.00% | 20.00% |
### Investor Data
| **Component** | **Portfolio Composition** | **Standard Deviation** |
|-----------------------|---------------------------|------------------------|
| Treasury Bills | 30.00% | 0.00% |
| The Crown and Rose Fund | 70.00% | 20.00% |
### Required Calculations
Using the information in the table above, please first calculate the expected return of the fund and the expected return and standard deviation for the investor. Then calculate the Sharpe Ratio for the fund, the investor’s position, and the overall market.
**(Use cells A5 to C18 from the given information to complete this question.)**
#### Summary of Calculations:
| **Investment** | **Expected Return** | **Standard Deviation** |
|-----------------------|---------------------|------------------------|
| The Crown and Rose Fund | 14.05% | 25.00% |
| The Investor | | |
#### Sharpe Ratio Calculation:
| **Investment** | **Sharpe Ratio** |
|-----------------------|---------------------|
| The Crown and Rose Fund | |
| The Investor | |
| S&P 500 | |
(Note: The process to derive these calculations involves using the weighted
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