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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O B *Book Problem Walk Through Suppose you are the money manager of a $4.24 mbon investment fund the fund consists of four stocks with the following investments and beta Stock Beta 1.50 (0.00) 1.25 8.75 W Investment $320,000 500,000 1.320,000 1,000,000 C D the market's required rate of retums 11% and the risk free rate is what is the fund's requered rate of retum De not found intermedate caldabone Round your answer to two decimal place
Suppose you are the money manager of a $4.38 million investment fund. The fund consists of four stocks with the following investments and betas: Stock Investment Beta A $ 240,000 1.50 B 700,000 (0.50) C 1,140,000 1.25 D 2,300,000 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. ? %
Unit trust Average return Standard deviation Beta Fund Alpha 10% 0.05 0.4 Fund Beta 12% 0.15 1.0 Fund Sigma 15% 0.10 1.2 Calculate the Jensen measure of Fund Alpha. A. 1.40% B. 1.60% OC. 0.20% OD. 1.00% Reset Selection
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?
4. Suppose you are a money manager of a $10 million investment fund. The fund is invested in three assets with the following investments and betas: Investment Beta 1.80 0.75 1.20 The remainder is invested in T-bills (risk free asset) with 3% return. a. If the market expected rate of return is 9% what is the fund's expected rate of return? b. Using Funds A and B, create a portfolio (report the portfolio weights and $ investment out of $10 million) with a 0.92 beta. Stock A B C $3,000,000 2,000,000 4,000,000
man.2
3
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 %
INV4 4a. Consider the following funds and the market portfolio: Bell Fund Cloche Fund Tintinnabulum Fund Market Portfolio Average return 18% 12% 30% 15% Standard deviation 25% 15% 30% 20% Beta 1.25 0.6 2.5 The risk-free return during the sample period was 5%. Using Sharpe’s, Treynor’s, and Jensen’s measures, rank the results for each of the funds.
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…

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