Problem 11-08Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses.% Security Investment Weight:Security Benchmark Index Fund X Fund Y Fund Z19%29345678910913%38%8%1501071585010208120109261013251010080108a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. Do not round intermediate calculations. Round your answers to onedecimal place.Fund X:Fund Y:%%Fund Z:%b. Using active share calculations above, indicate which fund is the most likely to be considered: (1) a passive index fund, (ii) a closet (or enhanced) index fund, and (iii) an

Step 1:Calculation of Active share (AS) measure for Fund X, Fund Y and Fund Z relative to benchmark…

Answered: Problem 11-08 Shown below are the…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 16P

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Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses. % Security Investment Weight: Security Benchmark Index Fund X Fund Y Fund Z 1 10% 12% 40% 11% 2 10% 13% 0% 9% 3 10% 8% 5% 9% 4 10% 15% 0% 9% 5 10% 7% 0% 11% 6 10% 10% 0% 11% 7 10% 5% 30% 9% 8 10% 14% 0% 11% 9 10% 6% 0% 11% 10 10% 10% 25% 9% a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. b. Using these active share calculations, indicate which fund is the most likely to be considered: (i) a passive index fund, (ii) a closet (or enhanced) index fund, and (iii) an actively managed concentrated stock-picking fund. Explain the reason for your classification.
Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses. % Security Investment Weight: Fund X: Fund Y: Fund Z: % a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. Do not round intermediate calculations. Round your answers to one decimal place. % Security Benchmark Index 1 2 3 4 5 6 7 8 9 % 10 10% 10 10 10 10 10 10 10 10 10 Fund X Fund Y Fund Z 7% 35% 11% 13 0 11 15 5 11 0 11 0 11 0 11 25 9 30 9 0 9 0 9 5 7 10 5 11 11 11
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Consider the following trading and performance data for four different equity mutual funds: Fund W Fund X Fund Y Fund Z Assets Under Management, $ 289.40 $ 653.70 $ 1,298.40 $ 5,567.30 Avg. for Past 12 Months (mil) Security Sales, Past 12 Months (mil) $ 37.20 $ 569.30 $ 1,453.80 $ 437.10 Expense Ratio 0.33% 0.71% 1.13% 0.21% Pretax Return, 3-Year Avg. 9.98% 10.65% 10.12% 9.83% Tax-Adjusted Return, 3-Year Avg. 9.43% 8.87% 9.34% 9.54% a. Calculate the portfolio turnover ratio for each fund. b. Which two funds are most likely to be actively managed and which two are most likely passive funds? Explain. c. Calculate the tax cost ratio for each fund. d. Which funds were the most and least tax efficient in the operations? Why?
ques 19
What is the beta of a portfolio comprised of the following securities? Stock Amount Invested Security Beta- 0.86 1.76 1.35 A B C $3600 $ 2800 $ 9000 Beta of portfolio to 2 decimal places is Numeric Response
Problem 13-19 Performance Metrics (LO1, CFA7) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is.97. Year 2015 2016 2017 2018 2019 Fund -15.13% Sharpe ratio Treynor ratio 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 Risk-Free 2% What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
What is the beta of a portfolio comprised of the following securities? Stock Amount Invested Security Beta A $5,100 1.66 B $6,100 1.77 C $8,600 1.00
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Question 7 The Amelia Knight investment fund has a total capital of R120 000 invested in three shares: SharesReturnInvestedTechnological Sector25%R60 000Education Sector13%R30 000Mining Sector20%R30 000 The current risk-free rate is 5,5%. Market returns have the following estimated probability distribution for the next period: ProbabilityMarket return0,3–10%0,1 14%0,2 15%0,4 18% What is the beta coefficient of the investment fund? 1. 0,52 2. 0,80 3. 1,82 4. 4,92
Problem 13-20 Jensen's Alpha (LO1, CFA5) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.91. Year 2018 2019 2020 2021 2022 Fund -14.99% 25.10 12.70 6.80 -1.38 Market -27.50% Jensen's alpha Information ratio 19.80 10.30 7.60 -2.20 Risk-Free 1% 5 2 4 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. Extensions %
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