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
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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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