Using historical risk premiums from Table 5.5 over the 1927-2021 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 2.40%?
Using historical risk premiums from Table 5.5 over the 1927-2021 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 2.40%?
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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Using historical risk premiums from Table 5.5 over the 1927-2021 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 2.40%? \tablell, Market Index, Big/growth Big/ value, Small/growth.Small/value], [A.1927-2021.....1 [Mean excess return (annualized), 8.86, 8.79, 12.02, 9.60, 15.54], [Standard deviation (annualized), 18.52, 18.35, 24 83, 25.97, 28.23] [Sharpe ratio,048, 0.48,0.48, 0.37, 0.55], Iower partial SD (annualzed ) 19.62, 18.85, 23.61, 25.86, 26.33], [Skew, 0.17, 0.11, 1:50, 0.59, 2.06] [Kurtosis, 7.61, 5.47, 17.58,7.10, 21.60], [VaR (1%) actual ( monthly) returns.-13.58,14.40, 1993, 20.10,20.68], [VaR(1) normal distribution . -11.75,-11.64,15.75-1669-17.78], (% of monthly retums more than 3,... [SD below mean
0.88% 0.79% 0.88%,0.79% 0.62%
Transcribed Image Text:A. 1927-2021
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. 1952-2021
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 Big/growth
8.86
18.52
0.48
19.62
0.17
7.61
-13.58
-11.75
0.88%
-19.60
8.40
14.95
0.56
16.17
-0.52
1.90
-10.89
-9.39
0.71%
-14.47
8.79
18.35
0.48
18.85
-0.11
5.47
-14.40
-11.64
0.79%
-19.86
8.47
15.50
0.55
15.78
-0.35
1.75
-10.84
-9.75
0.60%
-13.96
Big/value Small/growth Small/value
12.02
24.83
0.48
23.61
1.50
17.58
-19.93
-15.75
0.88%
-24.61
10.59
17.08
0.62
17.69
-0.46
3.03
-12.48
-10.66
0.83%
-18.08
9.60
25.97
0.37
25.86
0.59
7.10
-20.10
-16.69
0.79%
-24.64
8.21
22.39
0.37
23.72
-0.33
2.17
-17.22
-14.40
0.95%
-22.76
15.54
28.23
0.55
26.33
2.06
21.60
-20.68
-17.78
0.62%
26.00
13.51
19.02
0.71
20.23
-0.45
3.83
-15.24
-11.75
1.07%
-20.27
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