You are considering investing in a mutual fund. The fund is expected to earn a return of 13 percent in the next year. If its annual return is normally distributed with a standard deviation of 17 percent, what return can you expect the fund to beat 95 percent of the time? (Note: Write your answer as decimals with three decimal places. For example, if you answer is -8.7%, you should write -0.087 in the answer box. DO NOT write -8.7 in the box as you will be marked wrong).

You are considering investing in a mutual fund. The fund is expected to earn a return of 13 percent in the next year. If its annual return is normally distributed with a standard deviation of 17 percent, what return can you expect the fund to beat 95 percent of the time? (Note: Write your answer as decimals with three decimal places. For example, if you answer is -8.7%, you should write -0.087 in the answer box. DO NOT write -8.7 in the box as you will be marked wrong).

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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A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 19% 34% Bond fund (B) 10 18 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
Assume that one year ago, you bought 240 shares of a mutual fund for $27 per share and that you received an income dividend of $0.34 cents per share and a capital gain distribution of $1.07 per share during the past 12 months. Also assume the market value of the fund is now $29.50 a share. Calculate the total return for this investment if you were to sell it now. Note: Do not round intermediate calculations. Round your answer to 2 decimal places.
You are considering investing in a mutual fund. The fund is expected to earn a return of 19.0 percent in the next year. If its annual return is normally distributed with a standard deviation of 10.3 percent, what return can you expect the fund to beat 95 percent of the time?
You invest $100,000 in a hedge fund with a 2/20 fee structure. For the next 3 years, the hedge fund earns annual returns of 25.93%, -10.62%, and 64.83%. You make no withdrawals from the fund. Whenever fees are due, you write a check for that amount to the fund (such that the fund doesn't deduct the fees from your portfolio value). The fund's fee structure has a high watermark feature. What are the total fees you pay over the course of the three years? Enter a number with two decimal points. Answer the question in dollar amount, i.e., if the answer is $20, enter 20.00.
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 %
Required: You manage an equity fund with an expected risk premium of 10% and a standard deviation of 14%. The rate on Treasury bills is 6%. Your client chooses to invest $60,000 of her portfolio in your equity fund and $40,000 in a T-bill money market fund. What are the expected return and standard deviation of your client’s portfolio? (Do not round intermediate calculations. Round your answers to 1 decimal place.) equired: You manage an equity fund with an expected risk premium of 10% and a standard deviation of 14%. The rate on Treasury bills is 6%. Your client chooses to invest $60,000 of her portfolio in your equity fund and $40,000 in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio for the equity fund? (Round your answer to 4 decimal places.)
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5.5%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund (S) 16% 32% Bond fund (B) 10 23 The correlation between the fund returns is 0.20. Suppose now that your portfolio must yield an expected return of 13% and be efficient, that is, on the best feasible CAL. Required:a. What is the standard deviation of your portfolio? What is the proportion invested in the T-bill fund? What is the proportion invested in each of the two risky funds? Proportion Invested Stocks % Bonds %
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. Year Fund Market Risk-Free 2018 -21.8% -41.5% 3% 2019 25.1 2020 14.1 2021 6.4 2022 -2.22 21.2 14.5 8.8 4 2 4 -5.2 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
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 0.91. Year 2018 2019 2020 2021 2022 Fund -20.60% 25.10 13.90 7.60 -2.10 Market -39.50% 21.00 13.90 8.80 -5.20 Risk-Free 1% 3 2 4 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.
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A mutual fund manager expects her portfolio to earn a rate of return of 11% this year. The beta of her portfolio is 0.9. The rate of return available on risk-free assets is 4% and you expect the rate of return on the market portfolio to be 14%. a. What expected rate of return would you demand before you would be willing to invest in this mutual fund? Note: Do not round intermediate calculations. Enter your answer as a whole percent. b. Is this fund attractive to you? a. "Expected rate of return b. Is this fund attractive to you? %
Please answer these two

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