ZuoTi.Pro
Question

You are managing a risky portfolio with an expected return of 15%, a variance of 0.0784,...

You are managing a risky portfolio with an expected return of 15%, a variance of 0.0784, and a beta of 1.4. Suppose that the T-bill rate is 5% and the S&P500 stock index (as the market index) has an expected return of 10% and a variance of 0.04. Your client chose to invest 80% of her portfolio in your fund and the rest in a T-bill money market fund. What is the Sharpe ratio of your client’s portfolio?

A. 0.4466

B. 0.0571

C. 0.7145

D. 0.3571

business   finance   
0 0
Add a comment Improve this question Transcribed image text
Next > < Previous
Sort answers by oldest

Homework Answers

Answer #1

Sharpe ratio = Return on portfolio -- RFR / standard deviation of portfolio (S.D.)

RFR asset has S,D = 0

Corelation = 0

thats why S.D of portfolio = Weight of risky asset * S.D pf risky asset ( variance square root is S.D )

80% * 28% = 22.40 %

Sharpe ratio = 15% -- 5% / 22.40%

= 0.45 (excluding decimals ) = 0.4466 ( with decimals )

ANS . A

0 0
Add a comment
Know the answer?
Add Answer to:
You are managing a risky portfolio with an expected return of 15%, a variance of 0.0784,...
Your Answer:

Post as a guest

Your Name:

What's your source?

Earn Coins

Coins can be redeemed for fabulous gifts.

Log In

Sign Up

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

  • You manage a risky portfolio with an expected rate of return of 19% and a standard...

    You manage a risky portfolio with an expected rate of return of 19% and a standard deviation of 33%. The T-bill rate is 7%. Your client chooses to invest 80% of a portfolio in your fund and 20% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client’s? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio?________ Clients' reward-to-volatility ratio?_________

  • Problem 6-15 You manage a risky portfolio with an expected rate of return of 22% and...

    Problem 6-15 You 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 chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (S) of your risky portfolio? Your client's? (Do not round intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility ratio

  • You manage a risky portfolio with an expected rate of return of 17% and a standard...

    You manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 37%. The T-bill rate is 5%. Your client chooses to invest 80% of a portfolio In your fund and 20% In a T-bill money market fund. What is the reward-to-volatility (Sharpe) ratio (9) of your risky portfolio? Your client's? (Do not round Intermediate calculations. Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility ratio

  • Assume that you manage a risky portfolio with an expected rate of return of 18% and...

    Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 34%. The T-bill rate is 4%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. a. What is the expected return and standard deviation of your client's portfolio? (Round your answers to 2 decimal places.) Expected return % per year Standard deviation % per year b. Suppose your risky...

  • Suppose that you are managing a portfolio with a standard deviation of 21% and an expected...

    Suppose that you are managing a portfolio with a standard deviation of 21% and an expected return of 14%. The Treasury bill rate is 4%. A client wants to invest 16% of his investment budget in a T-bill money market fund and 84% in your fund. 1. What is the expected rate of return on your client's complete portfolio? 2. What is the standard deviation for your client's complete portfolio? 3. What is the reward-to-volatility (Sharpe) ratio of your client's...

  • 3. You have a risky portfolio that yields an expected rate of return of 15% with...

    3. You have a risky portfolio that yields an expected rate of return of 15% with a standard deviation of 25%. Draw the CAL for an expected return/standard deviation diagram if the risk free rate is 5%. a. What is the slope of the CAL? b. If your coefficient of risk aversion is 5, how much should you invest in the risky portfolio? 4. A pension fund manager is considering three mutual funds. The first is a stock fund, the...

  • You manage a risky portfolio with an expected rate of return of 18% and a standard...

    You manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 29%. The T-bill rate is 8%. Your risky portfolio includes the following investments in the given proportions: Stock A 35 % Stock B 35 % Stock C 30 % Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 14%. a....

  • 3) Assume that you manage a risky portfolio with an expected rate of return of 14%...

    3) Assume that you manage a risky portfolio with an expected rate of return of 14% and standard deviation of 19%. The risk-free rate rate on a Treasury-bill is 6%. a. Your client chooses to invest 60% of a portfolio in your fund and 40% in a risk-free T-bill money market fund. What is the expected return and standard deviation of your client's portfolio? b. Suppose another investor decides to invest in your risky portfolio a proportion (w) of his...

  • finance help please 1. Assume that you manage a risky portfolio with an expected rate of...

    finance help please 1. Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. a) What is the expected value and standard deviation of the rate of return on his portfolio? b) Suppose that your risky portfolio includes the following investments in the given...

  • Assume that you manage a risky portfolio with an expected rate of return of 15% and...

    Assume that you manage a risky portfolio with an expected rate of return of 15% and a standard deviation of 40%. The T-bill rate is 5%. Your risky portfolio includes the following investments in the given proportions: Stock A 24 % Stock B 33 Stock C 43 Your client decides to invest in your risky portfolio a proportion (y) of his total investment budget with the remainder in a T-bill money market fund so that his overall portfolio will have...

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