Using historical risk premiums from Table 5.5 over the 1927-2018 period as your guide, what would be your estimate of the expected annual HPR on the Big/Value portfolio if the current risk-free interest rate is 2.35% ? (Round your answer to 2 decimal places.) Expected annual HPR %
Using historical risk premiums from Table 5.5 over the 1927-2018 period as your guide, what would be your estimate of the expected annual HPR on the Big/Value portfolio if the current risk-free interest rate is 2.35% ? (Round your answer to 2 decimal places.) Expected annual HPR %
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
Related questions
Question

Transcribed Image Text:Using historical risk premiums from Table 5.5 over the 1927-2018 period as your guide, what would be your estimate of the expected
annual HPR on the Big/Value portfolio if the current risk-free interest rate is 2.35% ? (Round your answer to 2 decimal places.)
Expected annual HPR
%

Transcribed Image Text:A. 1927-2018
Mean excess return (annualized)
Standard deviation (annualized)
Sharpe ratio
Lower partial SD (annualized)
Skew
Kurtosis
VaR (1%) actual (monthly) returns
VaR (1%) normal distribution
% of monthly returns more than 3
SD below mean
Expected shortfall (monthly)
B. 1952-2018
Mean excess return (annualized)
Standard deviation (annualized)
Sharpe ratio
Lower partial SD (annualized)
Skew
Kurtosis
VaR (1%) actual (monthly) returns
VaR (1%) normal distribution
% of monthly returns more than 3
SD below mean
Expected shortfall (monthly)
Market Index
8.29
18.52
0.45
21.68
0.19
7.85
-13.61
-11.79
0.94%
- 19.60
7.60
14.76
0.52
17.25
-0.54
1.95
-10.71
-9.28
0.62%
- 18.85
Big/Growth
8.07
18.35
0.44
21.10
-0.11
5.63
-14.48
-11.69
0.75%
- 19.80
7.46
15.37
0.49
17.14
-0.38
1.84
- 10.94
-9.70
0.66%
- 17.78
Big/Value
11.69
24.70
0.47
25.44
1.63
18.43
-19.40
-
- 15.69
0.85%
-23.87
10.04
16.42
0.61
17.60
-0.32
2.25
- 12.26
- 10.19
1.06%
-21.16
Small/Growth
8.99
26.06
0.34
28.95
0.68
7.85
-20.48
-16.80
0.85%
-24.67
7.17
22.13
0.32
23.81
-0.41
2.11
-16.96
-14.26
0.93%
-24.11
Small/Value
15.38
28.21
0.55
26.18
2.18
22.32
-20.57
-17.78
0.57%
-25.33
13.16
18.41
0.71
18.26
-0.34
3.44
-14.97
-11.27
1.19%
-24.45
Table 5.5
Statistics for monthly excess returns on the market index and four "style" portfolios
Source: Authors' calculations using data from Prof. Kenneth French's web site: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/
data_library.html.
Expert Solution

Introduction
Holding period return (HPR) is the total return received from holding an investment over a specific period of time, including both capital gains or losses and any income received from the investment, such as dividends or interest payments. HPR is expressed as a percentage of the initial investment, and it provides a measure of the investment's performance over the holding period.
Trending now
This is a popular solution!
Step by step
Solved in 2 steps with 1 images

Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.Recommended textbooks for you

Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,



Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,



Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,

Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education