The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 aregiven below.FundABCS&P 500rfAvg Std DevBeta1.2011.00%28.00%13.00% 24.50%1.2516.50% 31.50% 1.4510.00% 18.00% 1.003.00%What is the M² measure for portfolio B?O 1.02%35%65%O 1.90%

M2 Measure for Portfolio refers to the Modiglaini Risk adjusted performance or return of the…

The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Fund A B C S&P 500 "f Std Dev Avg 11.00% 28.00% 13.00% 24.50% 16.50% 31.50% 10.00% 18.00% 3.00% Beta 1.20 1.25 1.45 1.00 What is the M² measure for portfolio B? 1.02% .35% .65% 1.90%

The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Fund A B C S&P 500 "f Std Dev Avg 11.00% 28.00% 13.00% 24.50% 16.50% 31.50% 10.00% 18.00% 3.00% Beta 1.20 1.25 1.45 1.00 What is the M² measure for portfolio B? 1.02% .35% .65% 1.90%

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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INV 1 6d You have decided to invest in three mutual funds: one in equities, one in long corporate and government bonds, and a money market fund invested in T-bills yielding 5%. Your estimate of the relevant parameters for the equities and bond funds are as follows: Expected Return Standard Deviation Equities .15 .30 Bonds .06 .09 The correlation between the fund returns is 0.12. Without the money market fund, what would be the weights of a portfolio on the best feasible CAL, composed of the equities and bond funds which would be expected to return 10%, and what would be its standard deviation?
Suppose you are the money manager of a $4.42 million investment fund. The fund consists of four stocks with the following investments and betas: Stock A B C D Beta Investment $360,000 600,000 1,160,000 1.50 (0.50) 1.25 2,300,000 0.75 If the market's required rate of return is 13% 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. %
man.2
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 %
Large cap fund 14% Mid cap fund Expected return of the S&P 500 = 12% Standard deviation of the market = 2.8 Return 16% Beta 1.6 .8 Standard Deviation 3.6 2.6 Risk-free rate 4% Rank the three funds from highest to lowest in terms of reward to risk based on total risk. O large cap, market, mid cap O mid cap, large cap, market O market, mid cap, large cap O large cap, mid cap, market O mid cap, market, large cap
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 %
Fund A Fund B Expected Ret. E(r) 13.2% 8.3% Standard Deviation - \sigma 15.5% 14.7% The table above contains expected annual returns for funds A and B. Assuming that the risk free rate is 1.34% and that the correlation of returns between funds A and B is 0.32, calculate the weight of Fund A in the Optimal two - risky asset portfolio comprised of funds A and B. Note: Enter your answer in percentages rounded to the nearest one digit after the decimal point. For example, if the weight of Fund A is 15.437% or 0.15437, enter it as: 15.4
What is the current price per share of the LPEVX mutual fund? 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 LPEVX 5.82 −0.01 11.3 NS Aberdeen Fds…
Question 11: You regress the monthly returns of XYZ fund for the past five years against three factors (i.e. Market factor = 1.2, SMB factor = −0.3, HML factor = 1.4)). What do these coefficient values mean and what type of stocks does the fund probably hold?
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. %

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