The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Average return Standard deviations of returns Beta Residual standard deviation Market Sooner Portfolio 20% 11% 44% 19% 1.8 2.0% 1.0 0.0% The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner Stock Fund?

The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Average return Standard deviations of returns Beta Residual standard deviation Market Sooner Portfolio 20% 11% 44% 19% 1.8 2.0% 1.0 0.0% The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner Stock Fund?

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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A portfolio was created by investing 38% of the funds in Stock A (Variance = 6.25%) and the balance of the funds in Stock B (Standard deviation = 15%). If the correlation coefficient is -0.46, the portfolio’s standard deviation is closest to A. 9.77%. B. 7.31%. C. 5.12%. D. 1.49%.
Please correct answer and don't use hand rating
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk-free return during the sample period was 4%. Guardian Market Portfolio Average return 14 % 10 % Standard deviation of returns 27 % 21 % Beta 1.5 1 Residual standard deviation 4 % 0 % Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.)
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%
Example: Consider the following data for a particular sample period: 　 Portfolio P Market M Average return 35% 28% Beta 1.20 1.00 Standard deviation 42% 30% Nonsystematic risk, σ(e) 18% 0 The T-bill rate during the period was 6%. A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio B) Compare and comment on results of each measure.
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 (0.80) 4% X Answer is complete but not entirely correct. Information ratio Market Portfolio Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) 10% 21% 1 0%
Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill presented below. What is the Fama diversification measure for the Globex Fund? Assume the T-bill rate as the risk- free rate and the S&P return as the market average return. Use at least four decimal places in your calculations, but report your answer in percentage terms rounded to two decimal places. (Ex..12345 should be entered as "12.35") Investment Vehicle Globex Fund World Fund S&P500 90-day T-bill Answer: Average Rate of Return% 25.2 13.92 15.52 7.10 Standard Deviation 21.33 14 12.8 0.3 Beta 1.05 0.95 R² 0.756 0.741
The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.
Considering the attached set of securities and portfolio returns: Find the combination of the weights that minimizes CV of the portfolio. How does the CV of the optimal portfolio compare with the CVs of its constituents?
A second version of the Markowitz portfolio model maximizes expected return subject to a constraint that the variance of the portfolio must be less than or equal to some specified amount. Consider the Hauck Financial Service data. Click on the datafile logo to reference the data. Annual Return (%) Mutual Fund Year 1 Year 2 Year 3 Year 4 Year 5 Foreign Stock 10.06 13.12 13.47 45.42 -21.93 Intermediate-Term Bond 17.64 3.25 7.51 -1.33 7.36 Large-Cap Growth 32.41 18.71 33.28 41.46 -23.26 Large-Cap Value 32.36 20.61 12.93 7.06 -5.37 Small-Cap Growth 33.44 19.40 3.85 58.68 -9.02 Small-Cap Value 24.56 25.32 -6.70 5.43 17.31 (a) Construct this version of the Markowitz model for a maximum variance of 38. Let: FS = proportion of portfolio invested in the foreign stock mutual fund IB = proportion of portfolio invested in the intermediate-term bond fund LG = proportion of portfolio invested in the large-cap growth fund LV = proportion of portfolio invested in the large-cap value fund SG =…
Review the table below listing performance metrics for selected assets. The metrics are defined in the same way as in CAPM. Compute the CAPM alpha for the four assets (data attached as image).
You have estimated the single index model (SIM) fund B and found that its alpha and beta are 0.035 and 1.1 respectively. The standard deviation of Fund B's excess returns is 30% and the market portfolio excess returns have a standard deviation of 20%. What's the information ratio of Fund B?

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