Your client has a risk aversion of A-3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12-#16 Fund S&P 500 Hedge Risk Premium 0.0800 0.1200 STDEV 0.2000 0.3500

Your client has a risk aversion of A-3 when applied to return on wealth over a 1 year horizon. She is looking at two portfolios: The S&P 500 with a Risk Premium of 8% and a standard Deviation of 20%. A Hedge Fund with a Risk Premium of 12% and a standard Deviation of 35% There is an annual correlation of .6200 Use this data for problems #12-#16 Fund S&P 500 Hedge Risk Premium 0.0800 0.1200 STDEV 0.2000 0.3500

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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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 .98. Year 2015 2016 Fund -23.60% Market -44.50% Risk-Free 1% 25.10 21.50 3 2017 14.40 15.40 2 2018 2019 7.00 -2.40 9.20 -6.20 6 2 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 %
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Your client, Sandra is considering three assets: a bond mutual fund, a cryptocurrency ETF, and US Treasury bills. The annualized T-bill rate is 2%. The information below refers to the two risky assets. Expected return Standard deviation Bond mutual fund Cryptocurrency ETF 3% 10% Correlation coefficient 0 14% 20% (a) What are the proportions of each asset, in Sandra's optimal risky portfolio? (b) Suppose the return for each risky asset follows a normal distribution. What is the 1% value-at-risk for Sandra's optimal risky portfolio? Hint: P(Z<-2.326) = 0.01 where Z~N(0, 1).
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 -18.8% 25.1 Sharpe ratio Treynor ratio 13.6 7.0 -1.92 Market -36.5% 20.7 13.0 8.4 -4.2 Risk-Free 1% 6 2 6 2 What are the Sharpe and Treynor ratios for the fund? (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 0.97. Year 2018 2019 2020 2021 2022 Fund -15.2% 25.1 12.4 6.2 -1.2 Sharpe ratio Treynor ratio Market Risk-Free 1% 3 2 4 2 -24.5% 19.5 9.4 7.6 -2.2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
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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 2018 Fund -18.80% Market -36.50% Risk-Free 1% 2019 25.10 20.70 6 2020 13.60 13.00 2 2021 2022 7.00 -1.92 8.40 -4.20 6 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. Jensen's alpha Information ratio Answer is not complete. 3.69 %
1. You manage an equity fund, Panda Eyes, with an expected risk premium of 10% anda standard deviation of 14%. The risk-free rate is 6%. Your client chooses to invest£60,000 of their portfolio in your equity fund and £40,000 in the risk-free rate. # Calculate the expected return and standard deviation of the return onyour client’s portfolio.
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 0.93. Year 2018 2019 2020 2021 2022 Fund -23.60% 25.10 14.40 7.00 -2.40 Market -44.50% 21.50 15.40 Jensen's alpha Information ratio 9.20 -6.20 Risk-Free 18 3 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. 2 6 %
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