a. | ||||
Calculation of total value added of all manager's decision | ||||
Manager | (0.32*0.25)+(0.2*0.17)+(0.18*0.10)+(0.3*0.07) | |||
Manager | 15.30% | |||
Benchmark | (0.33*0.15)+(0.46*0.17)+(0.19*0.13)+(0.02*0.15) | |||
Benchmark | 15.54% | |||
Added value | -0.24% | (15.30%-15.54%) | ||
b. | ||||
Value added by country's decision | ||||
UK | (0.32-0.33)*0.15 | -0.15% | ||
Japan | (0.20-0.46)*0.17 | -4.42% | ||
US | (0.18-0.19)*0.13 | -0.13% | ||
Germany | (0.30-0.02)*0.15 | 4.20% | ||
Problem 24-12 A global equity manager is assigned to select stocks from a universe of large...
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Weight In Manager's Weight Manager's Return Return of Stock Index Country MSCI Index in Country for That...
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Manager's Return in Country Return of Stock Index for That Country 120 216 Country U.K. Japan U.S....
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Country Weight In MSCI Index Manager’s Weight Manager’s Return in Country Return of Stock Index for That...
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Country Weight In MSCI Index Manager’s Weight Manager’s Return in Country Return of Stock Index for That...
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Country Weight In MSCI Index Manager’s Weight Manager’s Return in Country Return of Stock Index for That...
A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The manager will be evaluated by comparing her returns to the return on the MSCI World Market Portfolio, but she is free to hold stocks from various countries in whatever proportions she finds desirable. Results for a given month are contained in the following table: Country Manager's Weight e.48 Manager's Return in Country 21% Weight In MSCI Index 0.24 0.37 0.36 0.03...
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolie allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return 2.2% 1.2 0.5 Actual Weight Benchmark Weight 0.4 0.3 0.3 Index Return Equity Bonds 0.6 2.7% (...
A mutual fund manager has a $20 million portfolio with a beta of 1.3. The risk-free rate is 3.5%, and the market risk premium is 9%. The manager expects to receive an additional $5 million, which she plans to invest in a number of stocks. After investing the additional funds, she wants the fund's required return to be 17%. What should be the average beta of the new stocks added to the portfolio? Negative value, if any, should be indicated...
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indexes in column 4. Actual Return Actual Weight e.5 Benchmark Weight Equity Bonds Cash Index Return 2.8%(S&P/TSX Composite) .4 (FTSE TMX Universe) a-1....
A mutual fund manager has a $20 million portfolio with a beta of 1.3. The risk-free rate is 3.5%, and the market risk premium is 9%. The manager expects to receive an additional $5 million, which she plans to invest in a number of stocks. After investing the additional funds, she wants the fund's required return to be 17%. What should be the average beta of the new stocks added to the portfolio? Negative value, if any, should be indicated...