You are working as an assistant to the manager of a fund that is very well...
You are working as an assistant to the manager of a fund that is very well diversified.
The manager has asked you to suggest which of the following stocks that should be included in the portfolio, based on an appropriate measure.
If t-bills generates a return of 1.2 %, which of the following stocks is best suited to be included into the portfolio, and why?
|
E(r) |
σ |
β | |
|
Iano |
11.1 % |
31.8 % |
1.2 |
|
Back |
11.4 % |
8.8 % |
1.4 |
|
Hanc |
11.1 % |
16.8 % |
1.3 |
(In the computations displayed in the answers, percentages are represented in decimal version.)
Select one:
a. The Iano stock is preferred since it's Treynor measure of 0.092 is the highest one.
b. The Iano stock is preferred since it's Treynor measure of 0.083 is the highest one.
c. The Back stock is preferred since it's Sharpe measure of 0.619 is the best one
d. The Back stock is preferred since it's Treynor measure of 0.073 is the highest one.
e. The Hanc stock is preferred since both the Sharpe and the Treynor measure is better than for the other stocks
Homework Answers
| Portfolio Return | Risk free rate | Standard Deviation | Beta | Sharpe Measure= (Portfolio Return - Risk free return)/Standard Deviation | Treynor Ratio = (Portfolio Return - Risk free rate)/beta | |
| Lano | 11.1 | 1.2 | 31.8 | 1.2 | 0.003113208 | 0.0825 |
| Back | 11.4 | 1.2 | 8.8 | 1.4 | 0.011590909 | 0.072857143 |
| Hanc | 11.1 | 1.2 | 16.8 | 1.3 | 0.005892857 | 0.076153846 |
| The answer is | ||||||
| b. The Iano stock is preferred since it's Treynor measure of 0.083 is the highest one. | ||||||
Add Answer to:
You are working as an assistant to the manager of a fund that is
very well...
You are working as an assistant to the manager of a fund that is very well...
You are working as an assistant to the manager of a fund that is very well diversified. The manager has asked you to suggest which of the following stocks that should be included in the portfolio, based on an appropriate measure. If t-bills generates a return of 2.5 %, which of the following stocks is best suited to be included into the portfolio, and why? E(r) σ β Iano 8.1 % 37.6 % 1.7 Back 8.4 % 14.6 % 1.9...
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund....
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. Blakely was able to produce exceptional returns last year (as outlined in...
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund....
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. Blakely was able to produce exceptional returns last year (as outlined in...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. points Index model regression estimates 10 + re) Stock A 1.2(y- 0.659 11.78 238 Stock B 20 + 0.8(EM - 0.478 F Residual standard deviation, die Standard deviation of excess returns a. Calculate the following statistics for each stock...
please show work Consider the two (excess return) index-model regression results for stocks A and B....
please show work
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf 0.599 10.7% 22% Stock B 2% + 0.8(rm -rf) 0.448 19.5% 25.7% a. Calculate the following statistics...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, 0(e) Standard deviation of excess returns Stock A 1% + 1.2(M - rf) 0.659 11.7% 238 Stock B 2% + 0.8(IM - rf) 0.478 20.5% 27.7% a. Calculate the following statistics for each...
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B....
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, a market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, ole) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.611 10.9% 22.2% Stock B 2% + 0.8(rm -rf) 0.454 19.7% 26.1% a. Calculate the following statistics for...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.629 11.2% 22.5% Stock B 2% + 0.8(rm -rf) 0.463 20% 26.7% a. Calculate the following statistics for each stock:...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Kelli Blakely is a portfolio manager for the Miranda Fund (Miranda), a core large-cap equity fund. The market proxy and benchmark for performance measurement purposes is the S&P 500. Although the Miranda portfolio generally mirrors the asset class and sector weightings of the S&P, Blakely is allowed a significant amount of leeway in managing the fund. Her portfolio holds only stocks found in the S&P 500 and cash. Blakely was able to produce exceptional returns last year (as outlined in...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. points Index model regression estimates 10 + re) Stock A 1.2(y- 0.659 11.78 238 Stock B 20 + 0.8(EM - 0.478 F Residual standard deviation, die Standard deviation of excess returns a. Calculate the following statistics for each stock...
please show work
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market's average return was 12%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf 0.599 10.7% 22% Stock B 2% + 0.8(rm -rf) 0.448 19.5% 25.7% a. Calculate the following statistics...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, 0(e) Standard deviation of excess returns Stock A 1% + 1.2(M - rf) 0.659 11.7% 238 Stock B 2% + 0.8(IM - rf) 0.478 20.5% 27.7% a. Calculate the following statistics for each...
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, a market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, ole) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.611 10.9% 22.2% Stock B 2% + 0.8(rm -rf) 0.454 19.7% 26.1% a. Calculate the following statistics for...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.629 11.2% 22.5% Stock B 2% + 0.8(rm -rf) 0.463 20% 26.7% a. Calculate the following statistics for each stock:...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
Consider the two (excess return) index-model regression results
for stocks A and B. The risk-free rate over the
period was 7%, and the market’s average return was 14%. Performance
is measured using an index model regression on excess returns.
Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Most questions answered within 3 hours.
-
find the critical value associated with a right sided hypothesis of
the mean using a sample...
asked 1 hour ago -
Which of the following statements is true with respect to a
simple linear regression model?
a....
asked 2 hours ago -
The energy required to remove an electron from a surface of a
solid element is called...
asked 3 hours ago -
How would you train your employees to avoid risks of using
mobile devices?
asked 4 hours ago -
Assume Kw = 1.01 ✕ 10−14
For pure water, we can calculate [H3O+ ] = [OH...
asked 5 hours ago -
Suppose that on a temperature scale X, water boils at 203.0°X
and freezes at -105.7°X. What...
asked 5 hours ago -
BaS crystallizes in a cubic unit cell with S2- ions on each
corner and each face....
asked 6 hours ago -
A. 0≤P(Oi)≤10≤P(Oi)≤1 for each i
B. P(Oi)≤0P(Oi)≤0
C. P(Oi)=1+P(OCi)P(Oi)=1+P(OiC)
D. P(Oi)≥1P(Oi)≥1
If an experiment consists of...
asked 7 hours ago -
A battery has an emf of 9.20V and an internal resistance of 1.20
ohm. a)What resistance...
asked 7 hours ago -
The area of an elastic circular loop decreases at a constant
rate, dA/dt = −6.60×10−3 m2/s...
asked 8 hours ago -
The denaturation of proteins can be described by the
equilibrium
F⇌U
where F and U represent...
asked 10 hours ago -
Please answer what the maximum and minimum force is, and the
angle on the ion is...
asked 10 hours ago