Residual Yield ZC Price Last Maturity Last Chg 1M Chg 6M Last Chg 1M Chg 6M Change 1 month 2.326% -6.9 bp +219.6 bp 16 Mar 3 months 2.461% -17.0 bp +188.1 bp 16 Mar 6 months 2.667% -28.5 bp +217.2 bp 16 Mar 9 months 2.538% -44.9 bp +150.8 bp 16 Mar 1 year 2.532% -44.1 bp +135.2 bp 97.53 +0.43 % -1.32 % 16 Mar 2 years 2.499% -36.5 bp +97.5 bp 95.18 +0.71 % -1.90 % 16 Mar 3 years 2.301% -35.1 bp +84.7 bp 93.40 +1.03 % -2.46% 16 Mar 4 years 2.142% -40.1 bp +67.0 bp 91.87 +1.58% -2.60% 16 Mar 5 years 6 years 2.213% -32.0 bp 2.163% -28.4 bp +58.8 bp 89.63 +1.58 % -2.85% 16 Mar +54.7 bp 87.95 +1.68 % -3.17 % 16 Mar

Residual Yield ZC Price Last Maturity Last Chg 1M Chg 6M Last Chg 1M Chg 6M Change 1 month 2.326% -6.9 bp +219.6 bp 16 Mar 3 months 2.461% -17.0 bp +188.1 bp 16 Mar 6 months 2.667% -28.5 bp +217.2 bp 16 Mar 9 months 2.538% -44.9 bp +150.8 bp 16 Mar 1 year 2.532% -44.1 bp +135.2 bp 97.53 +0.43 % -1.32 % 16 Mar 2 years 2.499% -36.5 bp +97.5 bp 95.18 +0.71 % -1.90 % 16 Mar 3 years 2.301% -35.1 bp +84.7 bp 93.40 +1.03 % -2.46% 16 Mar 4 years 2.142% -40.1 bp +67.0 bp 91.87 +1.58% -2.60% 16 Mar 5 years 6 years 2.213% -32.0 bp 2.163% -28.4 bp +58.8 bp 89.63 +1.58 % -2.85% 16 Mar +54.7 bp 87.95 +1.68 % -3.17 % 16 Mar

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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The chart below shows the US Ireasury Yield Curve as of December 16, 2021 (see below). Date 1 1 Mo 2 Mo З Мо 6 Мо 1 Yr 2 Yr 3 Yr 5 Yr 7 Yr 10 Yr 20 Yr 30 Yr 12/16/2021 0.04% 0.06% 0.05% 0.13% 0.26% 0.64% 0.92% 1.19% 1.36% 1.44% 1.91% 1.87% Based on the Treasury Yield Curve shown above, answer the following two questions: A) What unusual feature presents itself in the curve? Please be specific. B). 20-year liquidity premium is 0.70%. Using the liquidity premium theory, what is your forecast of the 10-year rate, 10 years from today? Assume the the 10-year liquidity premium is 0.30% and that the
Use the information below to answer the question 52WH 52WLo Ticker Div Yield % P/E Vol 00s High Low Close Net Chg 52.53 28.31 KO 0.65 1.34 13.80 6,412 54.12 32.50? -0.81 What was the previous day's closing price? O $51.32 O $48.74 O $50.10 O $49.32
The effective convexity of with a high price of $100.73, a low price of $99.24, and a current price of $99.88 given a 600bps change in yield curve is closest to A. -555 B. -198 C. -33 D. Not enough information
Problem 6-1 Financial Pages (LO1) Consider the table given below to answer the following question. Maturity Coupon Bid Price Asked Price Chg Asked Yield toMaturity (%) 15-02-2020 1.375 98.3281 98.3438 − 0.0078 2.228 15-02-2021 2.25 99.5781 99.5938 0.0313 2.391 15-02-2025 7.625 130.6719 130.6875 0.1094 2.770 15-02-2029 5.25 121.8516 121.9141 0.2344 2.908 15-02-2036 4.5 120.9063 120.9688 0.5313 2.986 15-02-2041 4.75 127.2422 127.3047 0.6641 3.084 15-02-2048 3 97.2656 97.2969 0.7266 3.140 a. What is the current yield of the 2.25% 2021 maturity bond? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
QUESTION 12 Use the table below to answer questions 12 through 15. What is the portfolio tracking error? O A. 81.35 basis points OB. 86.35 basis points O C. 83.35 basis points D. 80.35 basis points Month January February March April May June July August September October November December Portfolio A's Return (%) 2.15 0.89 1.15 -0.47 1.71 0.10 1.04 2.70 0.66 2.15 -1.38 -0.59 Benchmark Index Return (%) 1.65 -0.10 0.52 -0.60 0.65 0.33 2.31 1.10 1.23 2.02 -0.61 -1.20
Stock A has the following returns for various states of the economy: State of the Economy Probability Stock A's Return Recession 10% -.30 Below Average 20% -.02 Average 40% .10 Above Average 20% .18 Boom 10% .40 Stock A's expected return is A. 7.2% B. 9.6% C. 5.4% D. 8.2%
Consider the following information: State of Economy Recession Expected return Normal .60 Boom 20 Calculate the expected return for Stock A. Expected return Probability of State of Economy Calculate the expected return for Stock B. Standard deviation 20 8.40% 8.02% 8.82% 7.95% 8.74% Standard deviation Calculate the standard deviation for Stock A. 10.20% 8.33% 10.71% 9.69% 10.61% 2.94% 2.08% 3.09% 2.79% 3.06% Calculate the standard deviation for Stock B. 17.42% 12.32% 18.29% 16.55% 18.11% Rate of Return if State Occurs Stock A .03 .09 12 Stock B -.21 N 13 33
2. What does the following yield curve predict? Treasury yield curve for July 31, 2000. Maturity Yield (%) 1 month 3 months 6.20 6 months 6.35 1 year 2 years 6.30 З years 6.30 5 years 6.15 7 years 10 years 6.03 30 years 5.78
State of Nature Recession Expansion Probability 70% 30% State Dependent Return A -.08 .28 State Dependent Return B -.04 .16 Given the data in the table above, what comes closest to the standard deviation of Stock A and the standard deviation of Stock B? A. The standard deviation of Stock A = .10 and the standard deviation of Stock B = .1033 B. The standard deviation of Stock A = .10 and the standard deviation of Stock B = .0917 C. The standard deviation of Stock A = .02 and the standard deviation of Stock B =.1033 D. The standard deviation of Stock A = .0000 and the standard deviation of Stock B = .0000 O E. The standard deviation of Stock A = .1650 and the standard deviation of Stock B =.0917
What is the expected market return if the expected return on asset A is 19% and the risk free rate is 5%? Asset A has a beta of 1.4. Assume that the CAPM is correct. a. 5% b. 9% c. 13% d. 15% e. 19%
You decide to invest in a portfolio consisting of 24 percent Stock A, 50 percent Stock B, and the remainder in Stock C. Based on the following information, what is the variance of your portfolio? state of Economy Recession Normal Boon Multiple Choice 00842 01137 00783 00884 00951 Probability of State of Economy .117 .671 .212 Return if State Occurs Stock A -10.40% 9.70% 21.61% Stock B. Stock C -3.80% -12.80% 10.72% 17.20% 25.23% 29.93%
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

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