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 35% 0 1 7% 13 2 3 15 5 4 0 5 0 6 7 8 9 10 Fund X: Fund Y: Fund Z: % % 10% 10 10 10 10 % 10 10 10 10 10 5 7 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. 10 5 11 11 11 0 25 30 0 0 Fund Z 11% 11 11 11 11 11 9 9 9 9

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 35% 0 1 7% 13 2 3 15 5 4 0 5 0 6 7 8 9 10 Fund X: Fund Y: Fund Z: % % 10% 10 10 10 10 % 10 10 10 10 10 5 7 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. 10 5 11 11 11 0 25 30 0 0 Fund Z 11% 11 11 11 11 11 9 9 9 9

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 average management fee for mutual funds ranges between the fund's assets. a) 0.50 and 2 Ob) 1.5 and 3 c) 3 and 4 d) 5 and 6 1/2 e) 7 and 8 1/2 percent of
Find the sales charge and sales charge percent for one share of AAGSX mutual fund stock if the stock was offered at $10.51 per share. 1 2 3 4 5 6 Family/ Fund Symbol NAV Chg YTD % return 3-yr % chg AARP Funds Aggr AAGSX 10.25 0.08 6.2 −1.6 Consrv AACNX 10.55 0.02 4.0 4.0 Mod p AAMDX 10.50 0.05 4.9 1.3 AMF Funds IntMtg ASCPX 4.81 −0.01 0.1 −14.3 LgCpEq IICAX 8.16 0.08 7.5 −2.1 ShtUSGv ASITX 9.36 −0.01 0.2 0.7 UltraShrt p AULTX 5.45 −0.02 3.2 −12.2 UltShrtMtg ASARX 7.39 — 2.4 −4.4 USGvMtg ASMTX 8.64 −0.02 0.2 −0.7 APIEffFrtGrPrim fp APIEffFrtGrPrim fp APITX 8.13 0.10 9.0 −6.5 APIMultIdxPrim APIMultIdxPrim AFMMX 10.98 0.09 4.4 −9.6 AVS LPE Ptf AVS LPE Ptf…
An Exchange Traded Fund (ETF) is a security that represents a portfolio of individual stocks. ETFS can be purchased on the stock exchanges like individual stocks. Assume that you can exchange the ETF for the underlying stocks and that you can form an ETF unit using the underlying stocks. In addition, assume that you can purchase and short-sell stocks and ETFS without any limitations. The Lonestar ETF consists of 5 shares of Exxon Mobil (XOM), 8 shares of AT&T (T), and 1 share of Texas Instruments (TXI). The current bid and ask prices of the three stocks and the Lonestar ETF are listed below: Security Bid Price Ask Price Еxxon Mobil (XоМ) $36.05 $36.08 AT&T (T) $28.87 $28.90 Texas Instruments (TXN) $156.75 $156.80 Lonestar ETF $569.60 $569.70 Are there any arbitrage opportunities? If yes, summarize the exact transactions that you suggest to perform the arbitrage. If not, explain why there are no arbitrage opportunities.
The Emerging Growth and Equity Fund is a "low-load" fund. The current offer price quotation for this mutual fund is $21.72, and the front-end load is 1.95 percent. a. What is the NAV? (Round your answer to 2 decimal places.) Net asset value dived b. If there are 18.7 million shares outstanding, what is the current market value of assets owned by the fund? (Do not round intermediate calculations. Round your answer to the nearest whole number.) Market value of assets
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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 -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
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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) Exp. Return Bond fund (B) 0.43 15% O 1.00 0.70 11% The correlation between the fund returns is 0.2. Solve numerically for the Sharpe Ratio of the optimal risky portfolio. 0.66 Std. Deviation 0.85 26% 12%
onsider 123 Fund (which is invested in 35% High risk stock and 65% normal bonds). Assume you have the following historical data of annual returns: Return S.D. Normal Stock 8% 20% Risky Bonds 10% 35% High Risk Stock 14% 40% Normal Bonds 6% 10% Assume High Risk Stocks and Normal Bonds have correlation coefficient of 0.24 Find the standard deviation of 123. Please use 5 decimal places in your response. Note: The right answer is 0.1679 Please explain step by step
Consider two asset classes: Stocks and Bonds. You estimate the following parameters for these two asset class funds. correlation matrix b/n Stocks and Bonds E(r ) sd(r) Stocks Bonds Stocks 19% 28% 10.5 Bonds 10% 8% 0.5 1 Consider a $80,000 portfolio consisting of $60,000 in Stocks and $20,000 in Bonds. So, the portfolio is 75% in Stocks and 25% in Bonds. Given the expected return on the portfolio is 16.75%, and the standard deviation of the portfolio return is 22.07%, what is the 2.5% value at risk (note: the 95% confidence interval lower limit on the portfolio value is the value of the portfolio at this level of loss)? (use 2 decimals without $, so a loss of -$10.00 is -10.00) Answer:Question 2 - 21205.76 Feedback The correct answer is: -21908.92 expain
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