eBookH Problem Walk-ThroughSuppose you are the money manager of a $4.48 million investment fund. The fund consists of four stocks withthe following investments and betas:Investment$ 440,000800,0001,140,0002,100,000Beta1.50(0.50)1.25StockABCD0.75If the market's required rate of return is 13% and the risk-free rate is 6%, what is the fund's required rate ofreturn? Do not round intermediate calculations. Round your answer to two decimal places.%

CAPM refers to the relationship between the expected return of the stock and the risk associated…

Suppose you are the money manager of a $4.48 million investment fund. The fund consists of four stocks with the following investments and betas: Stock A B C % Investment $440,000 800,000 1,140,000 2,100,000 0.75 If the market's required rate of return is 13% and the risk-free rate is 6%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. Beta 1.50 (0.50) 1.25

Suppose you are the money manager of a $4.48 million investment fund. The fund consists of four stocks with the following investments and betas: Stock A B C % Investment $440,000 800,000 1,140,000 2,100,000 0.75 If the market's required rate of return is 13% and the risk-free rate is 6%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. Beta 1.50 (0.50) 1.25

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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Net asset value (NAV) of an investment fund is calculated as total portfolio value divided by number of fund shares. Accordingly, if the total portfolio value is 100.000 $ and the number of shares is 55.000, then the NAV would be 100.000 $/55.000 = 1,818 S. Now, suppose that you are a portfolio manager of a bond fund that has 20.000 fund shares outstanding. You consider 3 investments for your portfolio: (a) A T-bill that has a 194 day maturity with a face value of 10.000 $. (b) A zero-coupon bond that has a 10 year maturity with a face value of 100.000 $. (c) A bond that pays quarterly coupon payments with an annual coupon rate of 12%, a face value of 50.000 $ and a maturity of 5 years. You know that the annual market yields are 10%. If you invest them all right now, what would be the NAV of your fund at the time of investment? (1 year = 360 days)
Suppose you are the money manager of a $4.74 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 460,000 1.50 B 580,000 (0.50) C 1,500,000 1.25 D 2,200,000 0.75 If the market's required rate of return is 9% and the risk-free rate is 5%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places.
Suppose you manage a $4 million fund that consists of four stocks with the following investments: Beta Stock A 1.50 B -0.50 1.25 C D 0.75 If the market's required rate of return is 14% and the risk-free rate is 7%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. Investment $400,000 1,000,000 1,600,000 1,000,000 %
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 0.93. Year 2018 2019 2020 2021 2022 Fund -23.60% 25.10 14.40 7.00 -2.40 Market -44.50% 21.50 15.40 Jensen's alpha Information ratio 9.20 -6.20 Risk-Free 18 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 2 6 %
Suppose you are the money manager of a $4.86 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 280,000 1.50 В 700,000 (0.50) 1,380,000 1.25 2,500,000 0.75 If the market's required rate of return is 11% and the risk-free rate is 6%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. 22.65 %
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 8%. The characteristics of the risky funds are as follows: Standard Deviation Stock fund (S) Bond fund (B) 30% 15 The correlation between the fund returns is 0.10. You require that your portfolio yield an expected return of 14%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Expected Return 20% 12 Complete this question by entering your answers in the tabs below. Required A Money market fund Stocks Bonds Required B What is the proportion invested in the money market fund and each of the two risky funds? Note: Round your answers to 2 decimal places. Proportion Invested % %
Suppose you are the money manager of a $4.66 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 280,000 1.50 B 400,000 (0.50) C 1,280,000 1.25 D 2,700,000 0.75 If the market's required rate of return is 10% and the risk-free rate is 5%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. %
D Suppose you are the money manager of a $4.28 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 340,000 1.50 B 700,000 C D 1,040,000 2,200,000 (0.50) 1.25 0.75 If the market's required rate of return is 12% and the risk-free rate is 5%, what is the fund's required rate of return? Do not round intermediate calculations. Round your answer to two decimal places. %
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 0.93. Year 2018 2019 2020 2021 2022 Fund -23.60% 25.10 14.40 7.00 -2.40 Market -44.50% 21.50 15.40 9.20 -6.20 Jensen's alpha Information ratio Risk-Free 1% 3 2 6 2 Calculate Jensen's alpha for the fund, as well as Its Information ratio. Note: Do not round Intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.

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