Suppose you manage an equity fund with the following securities. A client invests partially in your fund and partially in Treasury Bills. The Crown and Rose Fund Expected Return Percent of Portfolio Burrfoot Enterprises 9.50% 15% Majere Brothers, Incorporated 13.50% 20% Uth Matar Limited 4.50% 10% Lance Medical Supplies 16.50% 35% Starbreeze Jetliners 18.50% 20% Market Data Rate of Return Standard Deviation Treasury Bills 2.50% 0.00% S&P 500 12.00% 20.00% Investor Data Portfolio Composition Standard Deviation Treasury Bills 30.00% 0.00% The Crown and Rose Fund 70.00% 20.00% Required: Using the information in the table above, please first calculate the expected return of the fund and the expected return and standard deviation for the investor. Then calculate the Sharpe Ratio for the fund, the investor's position, and the overal market. (Use cells A5 to C18 from the given information to complete this question.) Investment Expected Return Standard Deviation The Crown and Rose Fund 25.00% The Investor Investment Sharpe Ratio The Crown and Rose Fund The Investor S&P 500
Suppose you manage an equity fund with the following securities. A client invests partially in your fund and partially in Treasury Bills. The Crown and Rose Fund Expected Return Percent of Portfolio Burrfoot Enterprises 9.50% 15% Majere Brothers, Incorporated 13.50% 20% Uth Matar Limited 4.50% 10% Lance Medical Supplies 16.50% 35% Starbreeze Jetliners 18.50% 20% Market Data Rate of Return Standard Deviation Treasury Bills 2.50% 0.00% S&P 500 12.00% 20.00% Investor Data Portfolio Composition Standard Deviation Treasury Bills 30.00% 0.00% The Crown and Rose Fund 70.00% 20.00% Required: Using the information in the table above, please first calculate the expected return of the fund and the expected return and standard deviation for the investor. Then calculate the Sharpe Ratio for the fund, the investor's position, and the overal market. (Use cells A5 to C18 from the given information to complete this question.) Investment Expected Return Standard Deviation The Crown and Rose Fund 25.00% The Investor Investment Sharpe Ratio The Crown and Rose Fund The Investor S&P 500
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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| Suppose you manage an equity fund with the following securities. A client invests partially in your fund and partially in Treasury Bills. | |||||||
| The Crown and Rose Fund | Expected Return | Percent of Portfolio | |||||
| Burrfoot Enterprises | 9.50% | 15% | |||||
| Majere Brothers, Incorporated | 13.50% | 20% | |||||
| Uth Matar Limited | 4.50% | 10% | |||||
| Lance Medical Supplies | 16.50% | 35% | |||||
| Starbreeze Jetliners | 18.50% | 20% | |||||
| Market Data | Standard Deviation | ||||||
| Treasury Bills | 2.50% | 0.00% | |||||
| S&P 500 | 12.00% | 20.00% | |||||
| Investor Data | Portfolio Composition | Standard Deviation | |||||
| Treasury Bills | 30.00% | 0.00% | |||||
| The Crown and Rose Fund | 70.00% | 20.00% | |||||
| Required: | |||||||
| Using the information in the table above, please first calculate the expected return of the fund and the expected return and standard deviation for the investor. Then calculate the Sharpe Ratio for the fund, the investor's position, and the overal market. | |||||||
| (Use cells A5 to C18 from the given information to complete this question.) | |||||||
| Investment | Expected Return | Standard Deviation | |||||
| The Crown and Rose Fund | 25.00% | ||||||
| The Investor | |||||||
| Investment | Sharpe Ratio | ||||||
| The Crown and Rose Fund | |||||||
| The Investor | |||||||
| S&P 500 | |||||||
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