ESSENTIALS OF INVESTMENTS - CONNECT ACCE
11th Edition
ISBN: 9781266077951
Author: Bodie
Publisher: INTER MCG
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Chapter 18, Problem 17PS
Summary Introduction
To calculate:
The effect of within-sector selection of each individual style category
Introduction:
The within-sector selection is a process, of selecting the best earning returns funds to achieve maximum profits, done by the managers.
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Chee Chew's portfolio has a beta of 1.27 and earned a return of 13.6% during the year just ended. The risk-free rate is currently 4.6%. The return on the market
portfolio during the year just ended was 10.5%.
a. Calculate Jensen's measure (Jensen's alpha) for Chee's portfolio for the year just ended.
b. Compare the performance of Chee's portfolio found in part a to that of Carri Uhl's portfolio, which has a Jensen's measure of -0.25. Which portfolio
performed better? Explain.
c. Use your findings in part a to discuss the performance of Chee's portfolio during the period just ended.
During the year just ended, Anna Schultz's portfolio, which has a beta of 0.91, earned a return of 8.1%. The risk-free rate is currently 4.1%, and the return on the
market portfolio during the year just ended was 9.4%.
a. Calculate Treynor's measure for Anna's portfolio for the year just ended.
b. Compare the performance of Anna's portfolio found in part a to that of Stacey Quant's portfolio, which has a Treynor's measure of 1.39%. Which portfolio
performed better? Explain.
c. Calculate Treynor's measure for the market portfolio for the year just ended.
d. Use your findings in parts a and c to discuss the performance of Anna's portfolio relative to the market during the year just ended.
Need answer.
Chapter 18 Solutions
ESSENTIALS OF INVESTMENTS - CONNECT ACCE
Ch. 18.1 - Prob. 1EQCh. 18.1 - Which fund would you choose if you were...Ch. 18.6 - Prob. 1EQCh. 18.6 - What would happen to the contribution of security...Ch. 18 - Prob. 1PSCh. 18 - Is it possible for a positive alpha to be...Ch. 18 - Prob. 3PSCh. 18 - Prob. 5PSCh. 18 - 6. stock price and dividend history are as...Ch. 18 - Prob. 7PS
Ch. 18 - Based on current dividend yields and expected...Ch. 18 - Consider the two (excess return) index~m0del...Ch. 18 - Prob. 10PSCh. 18 - Prob. 11PSCh. 18 - Prob. 12PSCh. 18 - Conventional wisdom says that one should measure a...Ch. 18 - Prob. 14PSCh. 18 - Prob. 15PSCh. 18 - Bill Smith is evaluating the performance of four...Ch. 18 - Prob. 17PSCh. 18 - Prob. 18PSCh. 18 - Prob. 19PSCh. 18 - Prob. 20PSCh. 18 - Prob. 21PSCh. 18 - Prob. 22PSCh. 18 - Prob. 1CPCh. 18 - Prob. 2CPCh. 18 - Prob. 3CPCh. 18 - Prob. 4CPCh. 18 - What is the Sharpe performance measure for...Ch. 18 - Prob. 6CPCh. 18 - Prob. 7CPCh. 18 - Prob. 8CPCh. 18 - Prob. 9CPCh. 18 - Prob. 10CPCh. 18 - Prob. 11CPCh. 18 - Prob. 12CPCh. 18 - Prob. 13CPCh. 18 - Prob. 14CPCh. 18 - Prob. 1WMCh. 18 - Prob. 2WMCh. 18 - Prob. 3WMCh. 18 - Prob. 4WMCh. 18 - Prob. 5WMCh. 18 - Prob. 7WM
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