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VALU P ILS you age your portfolio and I'll provide an annual return of 7% (this...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
13. An portfolio manager gathered the following information about a fund. Fund's rate of return 20%...
13. An portfolio manager gathered the following information about a fund. Fund's rate of return 20% Market rate of return 11% Risk-free rate 5% Beta of the fund 1.3 The Jensen's alpha for the fund is closest to:
Please solve for green boxes and please show excel formulas. Risk and Return Porfolio Weights and...
Please solve for green boxes and please show excel
formulas.
Risk and Return Porfolio Weights and the Security Market Line Do not round any calculations From the Topic "Application of the SML" pp. 240-242 An investor wants to build a 2-stock portfolio of the following stocks: Stock Beta 1.3 0.85 Expected Return 7.80% 5.80% If the investor wants the Portfolio Beta to be 1.1, what should the weights of each stock be in the portfolio? Desired Portfolio beta: Weight of...
Your portfolio returned 14.1% last year, with a beta equal to 1.8. The market return was...
Your portfolio returned 14.1% last year, with a beta equal to 1.8. The market return was 11.0%, and the risk-free rate 5.1%. Did you earn more or less than the required rate of return on your portfolio? (Use Jensen's measure.) The Jensen's measure for your portfolio is 1% (Round to two decimal places.) You earned the required rate of return on your portfolio. (Select from the drop-down menu.)
You have been given the following return information for a mutual fund, the market index, and...
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.95. Risk-Free Year 2011 2012 2013 2014 2015 Fund -19.40% 25.10 13.70 7.20 -1.98 Market -37.50% 20.80 13.30 8.40 -4.20 NON Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2...
A mutual fund manager expects her portfolio to earn a rate of return of 9% this...
A mutual fund manager expects her portfolio to earn a rate of return of 9% this year. The beta of her portfolio is 0.8. If the rate of return available on risk free assets is 4% and you expect the rate of return on the market portfolio to be 11%. Should you invest in this mutual fund? Show your work. Suppose you want to create a portfolio with the same risk as the fund manager’s portfolio above, however you only...
Mrs Gomez has a portfolio with an expected return of 7%. The portfolio is evenly invested...
Mrs Gomez has a portfolio with an expected return of 7%. The portfolio is evenly invested in a stock and a risk-free asset. The market has an expected return of 12% and the risk-free asset has an expected return of 4%. What is the beta of the stock? O a) 0.50 Ob) 0.75 OC) 1.00 O d) 1.25 e) 1.50
Consider the following information: Portfolio Risk-free Market Expected Return 7% 13.0 11.0 Beta 0 1.0 0.9...
Consider the following information: Portfolio Risk-free Market Expected Return 7% 13.0 11.0 Beta 0 1.0 0.9 a. Calculate the expected return of portfolio A with a beta of 0.9. (Round your answer to 2 decimal places.) Expected return b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Alpha T %
Problem 4-24 a. You expect a tax-free municipal bond portfolio to provide a rate of return...
Problem 4-24 a. You expect a tax-free municipal bond portfolio to provide a rate of return of 4.7%. Management fees of the fund are 0.67%. What fraction of portfolio income is given up to fees? (Round your answer to 1 decimal place.) Bond fund % b. If the management fees for an equity fund also are 0.67%, but you expect a portfolio return of 19.0%, what fraction of portfolio income is given up to fees? (Round your answer to 1...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
13. An portfolio manager gathered the following information about a fund. Fund's rate of return 20% Market rate of return 11% Risk-free rate 5% Beta of the fund 1.3 The Jensen's alpha for the fund is closest to:
Please solve for green boxes and please show excel
formulas.
Risk and Return Porfolio Weights and the Security Market Line Do not round any calculations From the Topic "Application of the SML" pp. 240-242 An investor wants to build a 2-stock portfolio of the following stocks: Stock Beta 1.3 0.85 Expected Return 7.80% 5.80% If the investor wants the Portfolio Beta to be 1.1, what should the weights of each stock be in the portfolio? Desired Portfolio beta: Weight of...
Your portfolio returned 14.1% last year, with a beta equal to 1.8. The market return was 11.0%, and the risk-free rate 5.1%. Did you earn more or less than the required rate of return on your portfolio? (Use Jensen's measure.) The Jensen's measure for your portfolio is 1% (Round to two decimal places.) You earned the required rate of return on your portfolio. (Select from the drop-down menu.)
You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.95. Risk-Free Year 2011 2012 2013 2014 2015 Fund -19.40% 25.10 13.70 7.20 -1.98 Market -37.50% 20.80 13.30 8.40 -4.20 NON Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2...
Mrs Gomez has a portfolio with an expected return of 7%. The portfolio is evenly invested in a stock and a risk-free asset. The market has an expected return of 12% and the risk-free asset has an expected return of 4%. What is the beta of the stock? O a) 0.50 Ob) 0.75 OC) 1.00 O d) 1.25 e) 1.50
Consider the following information: Portfolio Risk-free Market Expected Return 7% 13.0 11.0 Beta 0 1.0 0.9 a. Calculate the expected return of portfolio A with a beta of 0.9. (Round your answer to 2 decimal places.) Expected return b. What is the alpha of portfolio A. (Negative value should be indicated by a minus sign. Round your answer to 2 decimal places.) Alpha T %
Problem 4-24 a. You expect a tax-free municipal bond portfolio to provide a rate of return of 4.7%. Management fees of the fund are 0.67%. What fraction of portfolio income is given up to fees? (Round your answer to 1 decimal place.) Bond fund % b. If the management fees for an equity fund also are 0.67%, but you expect a portfolio return of 19.0%, what fraction of portfolio income is given up to fees? (Round your answer to 1...
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