Problem 24-11Consider the following information regarding the performance of a money manager in a recent month. The table represents the actreturn of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, thebenchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4.EquityBondsCashActual Return2.3%18.7Actual Weight0.30.30.4The manager's return in the month isBenchmark Weight%0.40.30.3a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values.Round your answer to 2 decimal places.)5.86 %Index Return2.8% (S&P 500)1.2 (Barclay's Aggregate)0.8 (T-Bills)a-2. What was her overperformance or underperformance? (Do not round intermediate calculations, Input all amounts as positivevalues. Round your answer to 2 decimal places.)

Manager return = Sum of (Actual Weight * Actual Return)Index return = Sum of (Benchmark Weight *…

Problem 24-11 Consider the following information regarding the performance of a money manager in a recent month. The table represents the ac return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Equity Bonds Cash Actual Return Actual Weight 2.3% 0.3 1 0.3 8.7 0.4 Benchmark Weight 0.4 0.3 0.3 The manager's return in the month is Index Return a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) 5.86 % 2.8% (S&P 500) 1.2 (Barclay's Aggregate) 0.8 (T-Bills) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations, Input all amounts as positive- values. Round your answer to 2 decimal places.)

Problem 24-11 Consider the following information regarding the performance of a money manager in a recent month. The table represents the ac return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Equity Bonds Cash Actual Return Actual Weight 2.3% 0.3 1 0.3 8.7 0.4 Benchmark Weight 0.4 0.3 0.3 The manager's return in the month is Index Return a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) 5.86 % 2.8% (S&P 500) 1.2 (Barclay's Aggregate) 0.8 (T-Bills) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations, Input all amounts as positive- values. Round your answer to 2 decimal places.)

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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Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Equity Bonds Cash 2% 1 0.5 Required: Actual Weight 0.70 0.20 0.10 Benchmark Weight 0.60 0.30 0.10 Index Return 2.5% (S&P 500) 1.2 (Barclay's Aggregate) 0.5 a-1. What was the manager's return in the month? Note: Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places. The manager's return in the month is % a-2. What was her overperformance or underperformance? Note: Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places. %
Problem 7-8 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: Stock fund (S) Bond fund (B) Expected Return 23% 14 Standard Deviation The correlation between the fund returns is 0.12. Sharpe ratio 29% 17 What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answer as a decimal rounded to 4 places.) Check my work
Problem 6-6 (Algo) Consider the following table: Scenario Probability Stock Fund Rate of Return Bond Fund Rate of Return Severe recession 0.10 -44% -11% Mild recession 0.20 -24% 17% Normal growth 0.40 29% 10% Boom 0.30 34% -7% Required: a. Calculate the values of mean return and variance for the stock fund. (Do not round intermediate calculations. Round "Mean return" value to 1 decimal place and "Variance" to 2 decimal places.) b. Calculate the value of the covariance between the stock and bond funds. (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 2 decimal places.)
Problem 9-27 Asset Allocation (LG9-2, LG9-5) Annual and Average Returns for Stocks, Bonds, and T-Bills, 1950 to 2017 You have a portfolio with an asset allocation of 39 percent stocks, 40 percent long-term Treasury bonds, and 21 percent T-bills. Use these weights and the returns given in the above table to compute the return of the portfolio in the year 2010 and each year since. Then compute the average annual return and standard deviation of the portfolio. Note: Do not round intermediate calculations. Round your answers to 2 decimal places.
Digital Executive Cheese Fruit January +14 +7 February -3 +1 March +5 +4 April +7 +13 May -4 +2 June +3 +5 July -2 -3 August -8 -2 Required: a-1. Calculate the variance and standard deviation of each stock. a-2. Which stock is riskier if held on its own? b. Now calculate the returns in each month of a portfolio that invests an equal amount each month in the two stocks. c. Is the variance more or less than halfway between the variance of the two individual stocks? Complete this question by entering your answers in the tabs below. Req A1 Req A2 Req B Req C Now calculate the returns in each month of a portfolio that invests an equal amount each month in the two stocks. Note: Negative amounts should be indicated by a minus sign. Do not round intermediate calculations. Round your answers to 2 decimal places. Month January February March April May June July August Portfolio Return
Concentration limits refers to: Question 34Answer a. Internal limits set on the maximum amount of loans that will be made to an individual borrower. b. External limits set on the minimum amount of loans that will be made to an individual borrower. c. External limits set on the maximum amount of loans that will be made to an individual borrower. d. The concentration of a portfolio to a particular industry.
QUESTION 5 A bank has estimated its VAR for its bond portfolio is $25,600 and for its stock portfolio, it is $33,600. The correlation coefficient between the two portfolios is -0.25. How much VAR would be reduced if they were allowed to aggregate the VAR of the two portfolios? $36,800.00 $59,200.00 $10,400.00 $22,400.00
which one is correct please confirm? QUESTION 17 Unlike long-term financial forecasts, short-term financial forecasts (one year or less) tend to be more ___________. a. speculative b. helpful c. strategic d. detailed

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