Your client, Jane Hislop, has an investment portfolio which is 30% invested in Fund 1 and 70% invested in Fund 2. Calculate the beta of her portfolio if: The standard deviation of Fund 1 is 8%, the standard deviation of Fund 2 is 16% and the standard deviation of the market is 10%. The correlation between Fund 1 and the market is 0.9 and the correlation between Fund 2 and the market is 0.7 Explain to Jane how risky her individual fund investments are, and the risk of her portfolio relative to the market. Relative to return of the market, what return can she expect from her individual funds, and from her overall portfolio?
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Your client, Jane Hislop, has an investment portfolio which is 30% invested in Fund 1 and 70% invested in Fund 2. Calculate the beta of her portfolio if:
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- The standard deviation of Fund 1 is 8%, the standard deviation of Fund 2 is 16% and the standard deviation of the market is 10%.
- The correlation between Fund 1 and the market is 0.9 and the correlation between Fund 2 and the market is 0.7
Explain to Jane how risky her individual fund investments are, and the risk of her portfolio relative to the market.
Relative to return of the market, what return can she expect from her individual funds, and from her overall portfolio?
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- Your client, Jane Hislop, has an investment portfolio which is 30% invested in Fund 1 and 70% invested in Fund 2. Calculate the beta of her portfolio if: The standard deviation of Fund 1 is 8%, the standard deviation of Fund 2 is 16% and the standard deviation of the market is 10%. The correlation between Fund 1 and the market is 0.9 and the correlation between Fund 2 and the market is 0.7Consider the following information about a risky portfolio that you manage and a risk-free asset: E(rp) = 16%, Op = 26%, rf = 4%. a. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 6%. What proportion should she invest in the risky portfolio, P, and what proportion in the risk- free asset? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Risky portfolio Risk-free asset b. What will be the standard deviation of the rate of return on her portfolio? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Standard deviation % % O First client O Second client % c. Another client wants the highest return possible subject to the constraint that you limit his standard deviation to be no more than 12%. Which client is more risk averse?Consider the following information about a risky portfolio that you manage and a risk-free asset: E(rp) = 9%, Op = 24%, rf = 2%. Required: a. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 8%. What proportion should she invest in the risky portfolio, P, and what proportion in the risk-free asset? b. What will be the standard deviation of the rate of return on her portfolio? c. Another client wants the highest return possible subject to the constraint that you limit his standard deviation to be no more than 12%. Which client is more risk averse?
- Consider the following information about a risky portfolio that you manage and a risk-free asset: E(rp) = 8%, op = 15%, rf = 2%. Required: a. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 8%. What proportion should she invest in the risky portfolio, P, and what proportion in the risk-free asset? b. What will be the standard deviation of the rate of return on her portfolio? c. Another client wants the highest return possible subject to the constraint that you limit his standard deviation to be no more than 12%. Which client is more risk averse? Complete this question by entering your answers in the tabs below. Required A Required B Required C Risky portfolio Risk-free asset Answer is complete but not entirely correct. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall…Consider the following information about a risky portfolio that youmanage, and a risk-free asset: E(rP ) = 11%, σP = 15%, rf = 5%.a) Your client wants to invest a proportion of her total investment budget in your riskyfund to provide an expected rate of return on her overall or complete portfolio equal to8%. What proportion should she invest in the risky portfolio, P, and what proportionin the risk-free asset? b) What will be the standard deviation of the rate of return on her portfolio? c) Another client wants the highest return possible subject to the constraint that you limithis standard deviation to be no more than 12%. Which client is more risk averse?Consider the following information about a risky portfolio that you manage and a risk-free asset: E(rp) = 11%, op = 12%, rf =,2%. Required: a. Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 7%. What proportion should she invest in the risky portfolio, P, and what proportion in the risk-free asset? b. What will be the standard deviation of the rate of return on her portfolio? c. Another client wants the highest return possible subject to the constraint that you limit his standard deviation to be no more than 17%. Which client is more risk averse? Complete this question by entering your answers in the tabs below. Required A Required B Required C Your client wants to invest a proportion of her total investment budget in your risky fund to provide an expected rate of return on her overall or complete portfolio equal to 7%. What proportion should she invest in the…
- Give typing answer with explanation and conclusion Assume that your client would prefer to invest her entire wealth into a portfolio with an annual risk premium of 6% and a standard deviation of 12%. You have constructed a risky portfolio with an expected return of 10% and a standard deviation of 15%. T-Bills are currently yielding 4%. What is the optimal allocation, y, to the risky portfolio given your client's risk preferences? What is the expected return and standard deviation on your client's optimal complete portfolio?You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 28%. The T-bill rate is 7%. Your client's degree of risk aversion is A = 2.0, assuming a utility function u E(r) = A0². a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y Expected return Standard deviation - % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) % %Rose Berry is attempting to evaluate two possible portfolios, which consist of the same five assets held in different proportions. She is particularly interested in using beta to compare the risks of the portfolios, so she has gathered the data shown in the following table: Portfolio weights Asset Asset beta Portfolio A Portfolio B 1 1.43 15% 20% 2 0.69 40% 5% 3 1.15 10% 35% 4 1.42 5% 20% 5 0.97 30% 20% Totals 100% 100% a. Calculate the betas for portfolios A and B. b. Compare the risks of these portfolios to the market as well as to each other. Which portfolio is more risky?
- Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return of 8%; the risk-free rate was 2% and the market portfolio returned 8%. The Fund had a target Beta of 1.40, but was actually 1.30. The fund had a standard deviation of 20%, and the market had a standard deviation of 12%. a. Calculate - Sharpe ratio b. Calculate - Treynor Ratio c. Discuss whether Elsie should consider using the Sharpe ratio or the Treynor ratio to discuss portfolio performance d. Define the Sortino ratio and explain its advantage E)Using Fama Decomposition, calculate: - Return from Investor's risk - Return from Manager's risk - Return from Diversification - Return from Net SelectivityYou manage a risky portfolio with an expected rate of return of 22% and a standard deviation of 34%. The T-bill rate is 6%. Your client's degree of risk aversion is A = 1.7. Required: a. What proportion, y, of the total investment should be invested in your fund? b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? Complete this question by entering your answers in the tabs below. Required A Required B What proportion, y, of the total investment should be invested in your fund? Note: Round your answer to 2 decimal places. Investment proportion y %You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 36%. The T-bill rate is 6%. Your client's degree of risk aversion is A = 3.1, assuming a utility function u = E(r) A02. a. What proportion, y, of the total investment should be invested in your fund? (Do not round intermediate calculations. Round your answer to 2 decimal places.) Investment proportion y % b. What are the expected value and standard deviation of the rate of return on your client's optimized portfolio? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Expected return % Standard deviation %