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Question 30 Fund A has an expected return of 9.5%, a standard deviation of 15.6% and...

Question 30

Fund A has an expected return of 9.5%, a standard deviation of 15.6% and a beta of 0.95.
Fund B has an expected return of 11.5%, a standard deviation of 17.8% and a beta of 1.10.
The S&P 500 index has an expected return of 10.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
What would happen if Fund A’s beta increased to more than the beta of Fund B? Hold all else constant.

A’s Treynor’s ratio would increase and it would be a buy

A’s Treynor’s ratio would increase and it would not be a buy

A’s Treynor’s ratio would decrease and it would be a buy

A’s Treynor’s ratio would decrease and it would not be a buy

Question 31

Fund A has an expected return of 11.4%, a standard deviation of 18.2% and a beta of 1.05.
Fund B has an expected return of 12.1%, a standard deviation of 17.8% and a beta of 1.11.
Fund C has an expected return of 10.9%, a standard deviation of 16.8% and a beta of 0.90.
Fund D has an expected return of 10.75%, a standard deviation of 19.1% and a beta of 0.92.
The S&P 500 index has an expected return of 11.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
Which of the following funds has a negative alpha?

A, B, C, D

A, B, D

B, C

C

Question 32

Fund A has an expected return of 11.4%, a standard deviation of 18.2% and a beta of 1.05.
Fund B has an expected return of 12.1%, a standard deviation of 17.8% and a beta of 1.11.
Fund C has an expected return of 10.9%, a standard deviation of 16.8% and a beta of 0.90.
Fund D has an expected return of 10.75%, a standard deviation of 19.1% and a beta of 0.92.
The S&P 500 index has an expected return of 11.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
Which of the following funds has the best expected alpha?

A

B

C

D

Question 33

Fund A has an expected return of 9.5%, a standard deviation of 15.6% and a beta of 0.95.
Fund B has an expected return of 11.5%, a standard deviation of 17.8% and a beta of 1.10.
The S&P 500 index has an expected return of 10.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
Which of the funds has an alpha that will plot above the Security Market Line?

Fund A

Fund B

Both Fund A and Fund B

Neither Fund A or Fund B

Question 34

Fund A has an expected return of 9.5%, a standard deviation of 15.6% and a beta of 0.95.
Fund B has an expected return of 11.5%, a standard deviation of 17.8% and a beta of 1.10.
The S&P 500 index has an expected return of 10.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
Which of the funds has a Sharpe’s Ratio that is better than the market’s ratio?

Fund A

Fund B

Both Fund A and Fund B

Neither Fund A or Fund B

Question 35

Fund A has an expected return of 11.4%, a standard deviation of 18.2% and a beta of 1.05.
Fund B has an expected return of 12.1%, a standard deviation of 17.8% and a beta of 1.11.
Fund C has an expected return of 10.9%, a standard deviation of 16.8% and a beta of 0.90.
Fund D has an expected return of 10.75%, a standard deviation of 19.1% and a beta of 0.92.
The S&P 500 index has an expected return of 11.5%, a standard deviation of 16.2% and a beta of 1.00.
The T-bill has an expected return of 4.5%
Which of the following funds is least desirable regarding the coefficient of variation?

Fund A

Fund B

Fund C

Fund D
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