Problem 23-7 The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Risk-free Benchmark Return Return rate 11% 2% 2% 2% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 12% 27% 30% 30% 31% 22% 20% 17% 15% Required A 8% 9% 24% 25% Fund Benchmark 24% 24% 20% 18% 15% 14% Sharpe Ratio 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? 2% 2% Complete this question by entering your answers in the tabs below. 2% 2% Required B Required C Required E What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to 2 decimal places.) Required D Required A Required B >

Problem 23-7 The following data is reported for a fund and an appropriate benchmark as well as the risk-free rate each year: Fund Risk-free Benchmark Return Return rate 11% 2% 2% 2% 2% Year 1 Year 2 Year 3 Year 4 Year 5 Year 6 Year 7 Year 8 Year 9 Year 10 12% 27% 30% 30% 31% 22% 20% 17% 15% Required A 8% 9% 24% 25% Fund Benchmark 24% 24% 20% 18% 15% 14% Sharpe Ratio 2% 2% Required: a. What is the Sharpe ratio for the fund and the benchmark? b. What is the Treynor ratio for the fund and the benchmark? c. What is the fund tracking error? d. What is the beta for the fund? e. What is Jensen's alpha for the fund? 2% 2% Complete this question by entering your answers in the tabs below. 2% 2% Required B Required C Required E What is the Sharpe ratio for the fund and the benchmark? (Do not round intermediate calculations. Round your final answer to 2 decimal places.) Required D Required A Required B >

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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Activity 3 You are given the following information on three funds. The risk free rate is 6%. Calculate the differential return measure. Interpret your findings. Fund CH- G I Actual Return 15 25 30 Market Return 20 20 20 Sigma² 16 25 36
Question content area top Part 1 (Related to Checkpoint 6.6) (Present value of annuities and complex cash flows) You are given three investment alternatives to analyze. The cash flows from these three investments are as follows: Investment Alternatives End of Year A B C 1 $ 14,000 $ 14,000 2 14,000 3 14,000 4 14,000 5 14,000 $ 14,000 6 14,000 70,000 7 14,000 8 14,000 9 14,000 10 14,000 14,000 (Click on the icon in order to copy its contents into a spreadsheet.) Assuming an annual discount rate of 15 percent, find the present value of each investment. Question content area bottom Part 1 a. What is the present value of investment A at an annual discount rate of 15 percent?…
Fund had a value of $32,000 on 1 April 2011. A net cash ow of $7.000 was received on 1 April 2012, a further net cash ow of $8,000 was received on 1 April 2013, and a further net cash ow of $12,000 was received on 1 April 2014. Immediately before receipt of the _rst net cash ow, the fund had a value of $35,000, immediately before receipt of the second net cash flow, the fund had a value of $45,000, and immediately before receipt of the third net cash ow, the fund had a value of $55,000. The value of the fund on 1 April 2015 was $65,.000. The money weighted rate of return per annum for the same period is Select one: a. 4.22% b. 6.19% c. 3.17% O d. 5.16% e. 8.41%
Unit trust Average return Standard deviation Beta Fund Alpha 10% 0.05 0.4 Fund Beta 12% 0.15 1.0 Fund Sigma 15% 0.10 1.2 Calculate the Jensen measure of Fund Alpha. A. 1.40% B. 1.60% OC. 0.20% OD. 1.00% Reset Selection
Problem 22-10 The financial manager has determined the following schedules for the cost of funds: Cost of Debt Debt ratio 0% 10 20 30 40 50 60 Assets 4 4 $400 Assets 4 4 5 a. Determine the firm's optimal capital structure. Round your answer to two decimal places. The optimal capital structure consists of -Select- % debt resulting in the cost of capital equal to 7 b. Construct a simple pro forma balance sheet that shows the firm's optimal combination of debt and equity for its current level of assets. Round your answers to the nearest dollar.. Balance Sheet Cost of Equity 11%) 11 11 11 12 13 14 Debt Equity %. $ 400 c. An investment costs $500 and offers annual cash inflows of $186 for four years. Should the firm make the investment? Use Appendix D to answer the question. Round your answer to the nearest whole number.. The Investment -Select- be made since the internal rate of return that is % -Select- o the cost of capital. d. If the firm makes this additional investment, how should its…
Problem 17-06 The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a net asset value (NAV) of $16.00. During the year the fund distributed $1.25, and at the end of the year its NAV was $17.55. What was the fund's return, and what was an investor's return? Round your answers to two decimal places. The fund's return: 17.50 purchase price % Return on the individual's investment: Why are they different? The answers are different because the fund reports its return based on the net asset value ✓ % and the investrors calculate their return based on the
Question content area top Part 1 Assuming a 1-year, money market account investment at 2.282.28 percent (APY), a 1.391.39 percent inflation rate, a 2525 percent marginal tax bracket, and a constant $50 comma 00050,000 balance, calculate the after-tax rate of return, the real rate of return, and the total monetary return. What are the implications of this result for cash management decisions? Question content area bottom Part 1 Assuming a 1-year, money market account investment at 2.282.28% (APY), a 2525% marginal tax bracket, and a constant $ 50 comma 000$50,000 balance, the after-tax rate of return is 1.711.71%. (Round to two decimal places.) Part 2 Assuming a 1-year, money market account investment at 2.282.28% (APY), a 2525% marginal tax bracket, and a constant $ 50 comma 000$50,000 balance, the after-tax monetary return is $855855. (Round to the nearest dollar.) Part 3 Given an after-tax return of 1.711.71% and an inflation rate of…
Simple Investment Allocation Case: This year, 2022 ABM Company selected your team to manage their allotted budget amounting to 10 million pesos for investment diversification portfolio. Your team was assigned to handle the said account. Question: How would you allocate funds?
Problem 6-19 Capital Budgeting with Inflation Consider the following cash flows on two mutually exclusive projects: Year Project A -$ Project B -$ 0 54,000 69,000 1 34,000 33,000 2 29,000 42,000 3 24,000 45,000 The cash flows of Project A are expressed in real terms, whereas those of Project B are expressed in nominal terms. The appropriate nominal discount rate is 10 percent and the inflation rate is 4 percent. Calculate the NPV for each project. (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Project A Project B Which project should you choose? Project A Project B
Here are the expected cash flows for three projects: Cash Flows (dollars) Year 2 Project A C Year 8 -6,588 -2,580 -6,500 Year 1 +1,375 +1,375 +2,588 +1,375 +1,375 Year 3 +3,758 +2,758 +3,750 Year 4 8 +3,750 +5,758 a. What is the payback period on each of the projects? b. If you use the payback rule with a cutoff period of 2 years, which projects will you accept? c. If you use a cutoff period of 3 years, which projects will you accept? d-1. If the opportunity cost of capital is 12%, calculate the NPV for projects A, B, and C. Note: Negative amounts should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 2 decimal places. d-2. Which projects have positive NPVs? e. "Payback gives too much weight to cash flows that occur after the cutoff date." True or false? a. Payback period b. If you use the payback rule with a cutoff period of 2 years, which projects will you accept? c. If you use a cutoff period of 3 years, which projects will you accept?…
elook Problem 17-06 The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a net asset value (NAV) of $17.00. During the year the fund distributed $1.05, and at the end of the year its NAV was $18.40. What was the fund's return, and what was an investor's return? Round your answers to two dedimal places. The fund's return: Return on the individual's investment: Why are they different? The answers are different because the fund reports its return based on the salact- v and the investrors calculate their return based on the -Select
Net Present Value Method, Present Value Index, and Analysis First United Bank Inc. is evaluating three capital investment projects using the net present value method. Relevant data related to the projects are summarized as follows: BranchOfficeExpansion ComputerSystemUpgrade ATMKioskExpansion Amount to be invested $863,421 $519,486 $311,214 Annual net cash flows: Year 1 358,000 243,000 165,000 Year 2 333,000 219,000 114,000 Year 3 304,000 194,000 83,000 Present Value of $1 at Compound Interest Year 6% 10% 12% 15% 20% 1 0.943 0.909 0.893 0.870 0.833 2 0.890 0.826 0.797 0.756 0.694 3 0.840 0.751 0.712 0.658 0.579 4 0.792 0.683 0.636 0.572 0.482 5 0.747 0.621 0.567 0.497 0.402 6 0.705 0.564 0.507 0.432 0.335 7 0.665 0.513 0.452 0.376 0.279 8 0.627 0.467 0.404 0.327 0.233 9 0.592 0.424 0.361 0.284 0.194 10 0.558 0.386 0.322 0.247 0.162 Required: 1. Assuming that the desired rate of return is 6%,…

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