Suppose that a hedge fund uses the value factor strategy and rebalances the portfolio once a year at the end of April 2022. The investment universe corresponds to stocks in the S&P 500. In this case, is the following statement true or false: "When forming the value factor strategy in April 2022, we should compute the P/B ratio of S&P500 firms based on historical data from December 2021". O True O False

Suppose that a hedge fund uses the value factor strategy and rebalances the portfolio once a year at the end of April 2022. The investment universe corresponds to stocks in the S&P 500. In this case, is the following statement true or false: "When forming the value factor strategy in April 2022, we should compute the P/B ratio of S&P500 firms based on historical data from December 2021". O True O False

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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You have the following rates of return for a risky portfolio for several recent years. Assume that the stock pays no dividends. Year Beginning of Year Price # of Shares Bought or Sold 2016 $ 50.00 100 bought 2017 $ 55.00 50 bought 2018 $ 51.00 75 sold 2019 $ 54.00 75 sold What is the dollar-weighted return over the entire time period? Multiple Choice 0.74% 2.87% 2.6% 2.21%
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Assume that the stock market will be decreasing for the year and you are interested in investing in one of the following stocks. The two stocks are: Stock ABC with a Beta of 1.75 Stock 123 with a Beta of -0.8 If you want to maximize the value of the investment which stock should you acquire. Please explain.
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The following information is related to X corporation: X's Beta was 1.3, market index 1 January 2020 was 100, market index 31 December 2020 was 110 and interest on treasury bills was 0.03 (risk free). Stock returns using the capital assets pricing model Question 20Answer a. 0.132 b. 0.143 c. 0.112 d. 0.121
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Your client has a risk aversion of A3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12 - #16 Fund S&P 500 Hedge Correlation: Risk Aversion A B 6542 5390 Risk Premium .6390 0.0800 Given the risk aversion of 3.0, how much will she invest in the risky assets of the portfolio? Y*= Expected Return on Portfolio / (A*Variance of Portfolio) 0.1200 0.6200 3.00 STDEV 0.2000 0.3500

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