Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
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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Use the following information to answer questions 23 - 24.
Consider a three-factor model.
You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year.
Factor | Factor Beta | Factor Realizations |
Market | 1.2 | 12% |
Industrial Prod | 0.5 | 7% |
Oil | 0.3 | 3% |
TBill rates were 4%.
Question 23
The predicted return on the stock is …………………………….. %.
Question 24
Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
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