You are choosing among three retirement funds. Alpha Fund has an expected return of 23% and a standard deviation of22.2%. Beta Fund has an expected return of 40% and a standard deviation of 40%. Gamma Fund has an expectedreturn of 21%. If according to the mean-standard deviation rule the Gamma Fund would never be chosen, then theGamma Fund's standard deviation must be greater than what?Gamma Fund's standard deviation must be greater than 22.2 %. (Round to one decimal place.)

There should be an optimal combination of risk and return and both should be moderate and optimal.

You are choosing among three retirement funds. Alpha Fund has an expected return of 23% and a standard devia 22.2%. Beta Fund has an expected return of 40% and a standard deviation of 40%. Gamma Fund has an expect eturn of 21%. If according to the mean-standard deviation rule the Gamma Fund would never be chosen, then th Gamma Fund's standard deviation must be greater than what? Gamma Fund's standard deviation must be greater than 22.2 %. (Round to one decimal place.)

You are choosing among three retirement funds. Alpha Fund has an expected return of 23% and a standard devia 22.2%. Beta Fund has an expected return of 40% and a standard deviation of 40%. Gamma Fund has an expect eturn of 21%. If according to the mean-standard deviation rule the Gamma Fund would never be chosen, then th Gamma Fund's standard deviation must be greater than what? Gamma Fund's standard deviation must be greater than 22.2 %. (Round to one decimal place.)

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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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 25.7% 29% 1.3 S&P 500 17.9% 20% 1 Risk-free 3.8% Calculate the M2 measure of performance for Fund A. Use the correct sign if the answer is negative! Example: -1.23
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 6%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) Expected Return 24% 14 Standard Deviation 33% 22 The correlation between the fund returns is 0.14. You require that your portfolio yield an expected return of 16%, and that it be efficient, that is, on the steepest feasible CAL. Required: a. What is the standard deviation of your portfolio? b. What is the proportion invested in the money market fund and each of the two risky funds? Answer is complete but not entirely correct. Complete this question by entering your answers in the tabs below.
An investor considers two mutual funds. Based on past experience, the first fund has an expected return of 0.08 and a standard deviation of 0.05. The second fund has an expected return of 0.07 and a standard deviation of 0.06. There is no reason to assume that future performance of these funds will differ from past performance. However, the second fund has a guarantee attached that the return in any year will not be negative.RequiredA. Which fund would a rational investor be likely to buy according to single-person decision theory?B. The investor buys the second fund. Use prospect theory to explain why.
In the above $110K allocation problem, you decided to allocate 30% weight in A, 50% weight in B, 20% weight in C, and you want to find its AVG return. Which of the following is the appropriate method to find the mean (AVG) return on the $100K fund invested? a. Weighted Average (WAVG ) b. Simple Average c. Geometric Average d. Arithmetic Average
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 8%. The characteristics of the risky funds are as follows: Stock fund (S) Bond fund (B) The correlation between the fund returns is 0.11. Expected Return 19% 12 Required: a-1. What are the investment proportions in the minimum-variance portfolio of the two risky funds? a-2. What are the expected value and standard deviation of the minimum-variance portfolio rate of return? Req A1 Complete this question by entering your answers in the tabs below. Reg A2 What are the investment proportions in the minimum-variance portfolio of the two risky funds? Note: Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places. Portfolio invested in the stock Portfolio invested in the bond Standard Deviation 32% 15 Req A1 A pension fund manager is considering three mutual funds. The…
A risky fund has an expected return of 10% and a standard deviation of 18%. the T-Bill Rate is 5%. An Investor allocates 110% of her retirement portfolio to the risky fund and -10% to T-Bills (recall the negative allocations to T-ills indicates borrowing at the risk free rate) What is the investor's risk aversion coefficient? (PLEASE SHOW WORK!!) A) 2.06 B) -0.71 C) 3.7 D) 1.40
The NXP fund has an expected return of 4.50%, with volatility 33.00%. The risk free rate is 1.00%, the market volatility is 16.10%, and the correlation between NXP returns and market returns is 0.67. What is the Treynor ratio for NXP?
a) Calculate Sharpe's measure of performance for Wildcat Fund. b) Calculate Treynor's measure of performance for Wildcat Fund.
An investor can design a risky portfolio based on two funds, HighYieldBond and SmallCapStock. Fund HighYieldBond has an expected return of 20% and a standard deviation of return of 34%. Fund SmallCapStock has an expected return of 25% and a standard deviation of return of 38%. The correlation coefficient between the returns on HighYieldBond and SmallCapStock is 0.31. If an investor puts 0.45 into fund HighYieldBond, what is the standard deviation of the return on this portfolio?
You have estimated the single index model (SIM) for Fund B and found that its alpha and beta are 4% and 1.2 respectively. The standard deviation of Fund B's excess returns is 30% and the market portfolio excess returns have a standard deviation of 20%. What's the idiosyncratic (unsystematic) volatility of Fund B's excess returns? Select one: O A. None of the choices are within 0.01 of the correct answer. OB. 0.18 OC. 0.21 OD. 0.155 OE. 0.23
Asset W has an expected return of 12.3 percent and a beta of 1.2. If the risk-free rate is 4 percent, complete the following table for portfolios of Asset W and a risk-free asset. (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Enter your expected return answers as a percent rounded to 4 decimal places, e.g., 32.1623, and beta answers to 3 decimal places, e.g., 32.161.) > Answer is complete but not entirely correct. Percentage of Portfolio in Asset W % 0 25 50 75 100 125 150 Portfolio Expected Return 4.0000 % 6.0750X % 8.1500 X % 10.2250 % 12.3000 x % 14.3750 % 16.4500 X % Portfolio Beta 0 0.300 0.600 0.900 1.200 1.500 1.800

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