You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different externalportfolio managers (Y and Z). You consider the following historical average return, standard deviation, and CAPM beta estimatesfor these two managers over the past five years:Portfolio Actual Avg. Retum Standard Deviation BetaManger Y 10.20% 12009% 1.20Manger Z 8.80% 9.90% 0.80Additionally, your estimate for the risk premium for the market portfolio is 5.00 percent and the risk-free rate is currently 4.50percent.For both Manager Y and Manager Z, calculate the expected return using the CAPM. Express your answers to the nearest basispoint (Le., xx.xx96).

Financial statements are statements which states the business activities performed by the company .…

You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Y and Z). You consider the following historical average return, standard deviation, and CAPM beta estimates for these two managers over the past five years: Portfolio Actual Avg. Return Standard Deviation Beta Manger Y 10.20% 12.00% 1.20 Manger Z 8.80% 9.90% 0.80 Additionally, your estimate for the risk premium for the market portfolio is 5.00 percent and the risk-free rate is currently 4.50 percent. For both Manager Y and Manager Z, calculate the expected return using the CAPM. Express your answers to the nearest basis point (.e., xx.xx9%).

You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Y and Z). You consider the following historical average return, standard deviation, and CAPM beta estimates for these two managers over the past five years: Portfolio Actual Avg. Return Standard Deviation Beta Manger Y 10.20% 12.00% 1.20 Manger Z 8.80% 9.90% 0.80 Additionally, your estimate for the risk premium for the market portfolio is 5.00 percent and the risk-free rate is currently 4.50 percent. For both Manager Y and Manager Z, calculate the expected return using the CAPM. Express your answers to the nearest basis point (.e., xx.xx9%).

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 data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% Information ratio 1.2 4% Market Portfolio 10% 21% 1 0% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.)
As an active fund manager, you have obtained information on three individual stocks, the market index, and T-bills as follows: Asset Expected Return (%) Total Standard Deviation (%) Beta Stock 1 20.0 80.00 1.8 Stock 2 16.0 60.00 1.4 Stock 3 6.0 50.00 0.8 Market Index 10.0 40.00 1.0 T-bills 4.0 0.00 0.0 You decide to use the above information to form an optimal active portfolio, consisting of the three individual stocks. Determine the corresponding weights for the three stocks in the optimal active portfolio. Show your work.
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 9%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 19% 12 Standard Deviation 32% 15 The correlation between the fund returns is 0.11. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Portfolio invested in the stock Portfolio invested in the bond Expected return Standard deviation
You want to evaluate two mutual funds using the information ratio measure for performance evaluation. The risk-free return during the sample period is 5.00%, and the average return on the market portfolio is 18.00%. The average returns, residual standard deviations, and betas for the three funds are given below. Average Return Fund A 18% Fund B 21% Residual Standard Deviation 4.00% 27% 1.25% 27% Standard Deviation What is Fund A's Sharpe Ratio? [Select] Beta 0.75 1.00 What is Fund A's Information Ratio? [Select]
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .96. Year Fund 2015 -14.92% Market -28.50% Risk-Free 2% 2016 25.10 19.90 2017 12.80 10.60 2018 7.00 2019 -1.44 7.60 -2.20 4252 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Jensen's alpha Information ratio %
The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14% 28.5% 1.7 S&P 500 17.6% 19.4% 1 Risk-free 4.8% Calculate the Treynor measure of performance for Fund A. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places. Example: 0.1234
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. 1ITT Market Risk-Free Year Fund 2011 -21.8% -41.5% 3% 2012 25.1 21.2 4 14.1 2013 14.5 8.8 2014 6.4 4 -2.22 2015 -5.2 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Sharpe ratio Treynor ratio
In a recent 5-year period, mutual fund manager Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Fund Market index a. 1 -1.2 -0.9 b. 2 +24.8 +16.0 a. Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal places.) b. Did Ms. Sauros do better or worse than the market index on these measures? Average return Standard deviation Did Ms. Sauros do better or worse than the market index on these measures? 3 +40.7 +31.7 Mesozoic Fund Return Better 4 +11.1 +10.9 15.06 16.04 Market Portfolio Return 5 +0.3 -0.7 10.70 11.76
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97. Year 2015 2016 2017 2018 2019 Fund -17.0% Sharpe ratio Treynor ratio 25.1 13.3 6.4 -1.74 Market -33.5% 20.4 12.1 8.0 -3.2 Risk-Free 2% 6 2 5 3 What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
As an active fund manager, you have obtained information on three individual stocks, the market index, and T-bills as follows: Expected Return (%) Asset Stock 1 Stock 2 Stock 3 Market Index T-bills 20.0 16.0 6.0 10.0 4.0 Total Standard Deviation (%) 80.00 60.00 50.00 40.00 0.00 Beta 1.8 1.4 0.8 1.0 0.0 You decide to use the above information to form an optimal active portfolio, consisting of the three individual stocks. Determine the corresponding weights for the three stocks in the optimal active portfolio. Show your work.
Mr. Ota is an analyst for a large pension fund and he has been assigned the task of evaluating two different external portfolio managers (K and C). He considers the following historical average return, standard deviation, and CAPM beta estimates for these two managers over the past five years: Actual Average Standard deviation Portfolio Beta Return Manager K Manager C 7.80% 10.05% 0.75 12.0% 15.50% 1.45 Additionally, Mr. Ota estimate for the risk premium for the market portfolio is 5.40% and the risk-free rate is currently 2.50%. a. For both Managers K and C, calculate the expected return using the CAPM. Express your answers to the nearest basis point (i.e., xX.XX%)
Use the following data to answer the question regarding the performance of Guardian Stock Fund and the market portfolio. The risk- free return during the sample period was 5%. Average return Standard deviation of returns Beta Residual standard deviation Guardian 14% 26% 1.2 0.60 X 4% Calculate the information ratio measure of performance for Guardian Stock Fund. (Round your answer to 2 decimal places. Do not round intermediate calculations.) Answer is complete but not entirely correct. Information ratio Market Portfolio 10% 21% 1 0%

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