The risk-free rate is 3%. What is the average (total not excess) return on the benchmark implied by the three-factor model for each manager? (a) Manager 1: 24%, Manager 2: 13% (b) Manager 1: 24%, Manager 2: 12% (c) Manager 1: 26%, Manager 2: 12% (d) Manager 1: 27%, Manager 2: 13% (e) None of the above 4. Based on the Fama French 3-factor model and the data in 3, which manager is better? (a) Manager 1 did better (b) Manager 2 did better (c) Their performance was equally good (d) Not enough information 5. Based on the exposures to the Fama-French factors in problem 3, what kinds of stocks does manager 2 invest in? (a) Small-cap value stocks (b) Small-cap growth stocks (c) Large-cap growth stocks (d) Large-cap value stocks (e) Not enough information
The risk-free rate is 3%. What is the average (total not excess) return on the benchmark implied by the three-factor model for each manager? (a) Manager 1: 24%, Manager 2: 13% (b) Manager 1: 24%, Manager 2: 12% (c) Manager 1: 26%, Manager 2: 12% (d) Manager 1: 27%, Manager 2: 13% (e) None of the above 4. Based on the Fama French 3-factor model and the data in 3, which manager is better? (a) Manager 1 did better (b) Manager 2 did better (c) Their performance was equally good (d) Not enough information 5. Based on the exposures to the Fama-French factors in problem 3, what kinds of stocks does manager 2 invest in? (a) Small-cap value stocks (b) Small-cap growth stocks (c) Large-cap growth stocks (d) Large-cap value stocks (e) Not enough information
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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Transcribed Image Text:The risk-free rate is 3%. What is the average (total not excess) return
on the benchmark implied by the three-factor model for each manager?
(a) Manager 1: 24%, Manager 2: 13%
(b) Manager 1: 24%, Manager 2: 12%
(c) Manager 1: 26%, Manager 2: 12%
(d) Manager 1: 27%, Manager 2: 13%
(e) None of the above
4. Based on the Fama French 3-factor model and the data in 3, which
manager is better?
(a) Manager 1 did better
(b) Manager 2 did better
(c) Their performance was equally good
(d) Not enough information
5. Based on the exposures to the Fama-French factors in problem 3, what
kinds of stocks does manager 2 invest in?
(a) Small-cap value stocks
(b) Small-cap growth stocks
(c) Large-cap growth stocks
(d) Large-cap value stocks
(e) Not enough information
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