Question

Problem 24-12 A global equity manager is assigned to select stocks from a universe of large stocks throughout the world. The

0 0
Add a comment Improve this question Transcribed image text
Answer #1
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%
Add a comment
Know the answer?
Add Answer to:
Problem 24-12 A global equity manager is assigned to select stocks from a universe of large...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Not the answer you're looking for? Ask your own homework help question. Our experts will answer your question WITHIN MINUTES for Free.
Similar Homework Help Questions
  • A global equity manager is assigned to select stocks from a universe of large stocks throughout...

    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...

    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...

    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...

    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...

    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...

    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...

    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...

    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...

    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 pr...

    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...

ADVERTISEMENT
Free Homework Help App
Download From Google Play
Scan Your Homework
to Get Instant Free Answers
Need Online Homework Help?
Ask a Question
Get Answers For Free
Most questions answered within 3 hours.
ADVERTISEMENT
ADVERTISEMENT
ADVERTISEMENT