You are comparing the performance of your portfolio against your benchmark over the last 8 years....
You are comparing the performance of your portfolio against your benchmark over the last 8 years. You have collected the following data:
| Year | Portfolio | Benchmark |
| 1 | 12% | 10% |
| 2 | 6% | 13% |
| 3 | 10% | 11% |
| 4 | 11% | 9% |
| 5 | 16% | 12% |
| 6 | 14% | 10% |
| 7 | 8% | 13% |
| 8 | 18% | 10% |
Assume that the risk-free rate over this period averaged 2%. Given this information, calculate the optimal levels of active risk and active return for your portfolio, along with the Sharpe ratio for the optimal active portfolio.
Homework Answers
Add Answer to:
You are comparing the performance of your portfolio against your
benchmark over the last 8 years....
doud 22. Excess return portfolio performance measures Adjust portfolio risk to match benchmark risk. Compare portfolio...
doud 22. Excess return portfolio performance measures Adjust portfolio risk to match benchmark risk. Compare portfolio returns to expected returns under CAPM. Evaluate portfolio performance on the basis of return per unit of risk. Indicate historic average differential return per unit of historic variability of differential return. None of the above. 23 An example of a market cap weighted stock market indicator series is the a. Dow Jones Industrial Average. b. Nikkei Dow Jones Average. c. S&P 500 Index. d....
An analyst gathered the following information about a portfolio's performance over the past ten years: Mean...
An analyst gathered the following information about a portfolio's performance over the past ten years: Mean annual return: 11.8% Standard deviation of annual returns: 15.7% Portfolio Beta:1.2 If the mean return on the risk-free asset over the same period was 5.0%, the Sharpe ratio for the portfolio is closest to: Sharpe ratio A 0.23 B 0.36 C 0.43
You’re the portfolio manager of a large company. You have an average performance of 13.5% return...
You’re the portfolio manager of a large company. You have an average performance of 13.5% return and risk of 22.5% a year. Your portfolio has beta value of 0.88. The risk free rate is 5% and market return is 12.5%. What is your Alpha, Treynor Ratio and Sharpe Ratio?
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio RP ?P ?P X 13 % 29 % 1.25 Y 11 24 1.10 Z 8 14 0.75 Market 10 19 1.00 Risk-free 4 0 0 What is the Sharpe ratio of portfolio X? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. )
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the ...
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 16 percent, respectively. The standard deviations of the assets are 37 percent and 45 percent, respectively. The correlation between the two assets is 0.57 and the risk-free rate is 4.1 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year...
Portfolio analvsis (8 points L3 points) Asset A has an expected return of 10% and a...
Portfolio analvsis (8 points L3 points) Asset A has an expected return of 10% and a Sharpe ratio of 0.4. Asset B bas ans expectod retum of 15% and a Sharpe ratio of o3. Asset C has an expected return of 20% and a Sharpe ratio of 0.35. A risk-averse investor would prefer to build a complete portfolio using the risk free asset and a Asset A b. Asset B c Asset C d. No risky asset 2 (3 points)...
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the...
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Qe Bp 12.0% 33% 1.95 11.0 28 1.25 7.3 18 0.60 Market 11.4 1.00 Risk-free 6. 8 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
You manage a risky portfolio with an expected return of 12% and a standard deviation of 24%. Assume that you can invest...
You manage a risky portfolio with an expected return of 12% and a standard deviation of 24%. Assume that you can invest and borrow at a risk-free rate of 3%, using T-bills. a. Draw the Capital Allocation Line (CAL) for this combination of risky portfolio and risk-free asset. What is the Sharpe ratio of the risky portfolio? b. Your client chooses to invest 50% of their funds into your risky portfolio and 50% risk-free. What is the expected return and...
9. (Market portfolio, CML) In the Golkoland stock market, there are only two listed stocks, Xirkind...
9. (Market portfolio, CML) In the Golkoland stock market, there are only two listed stocks, Xirkind and Yirkind. The risk-free rate of return in Golkoland is 5%, and the portfolio of Xirkind and Yirkind stocks which has the highest Sharpe ratio is given below: A C 3 Average return 4 Variance of returns 5 Standard deviation 6 Covariance of returns 7 Correlation 8 Risk-free return B DE Xirkind Yirkind 19.84% 15.38% 0.1575 0.1378 39.68% 37.12% <-- SQRT(C4)! -0.0110 -0.0747 <--...
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%...
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: A BC Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1521 0.0484 4 Standard deviation 0.39 0.22 5 Covariance 0.02574 D Optimal risky portfolio 8 Weights 9 Expected return 10 Variance 11 Standard deviation 12...
doud 22. Excess return portfolio performance measures Adjust portfolio risk to match benchmark risk. Compare portfolio returns to expected returns under CAPM. Evaluate portfolio performance on the basis of return per unit of risk. Indicate historic average differential return per unit of historic variability of differential return. None of the above. 23 An example of a market cap weighted stock market indicator series is the a. Dow Jones Industrial Average. b. Nikkei Dow Jones Average. c. S&P 500 Index. d....
Portfolio analvsis (8 points L3 points) Asset A has an expected return of 10% and a Sharpe ratio of 0.4. Asset B bas ans expectod retum of 15% and a Sharpe ratio of o3. Asset C has an expected return of 20% and a Sharpe ratio of 0.35. A risk-averse investor would prefer to build a complete portfolio using the risk free asset and a Asset A b. Asset B c Asset C d. No risky asset 2 (3 points)...
ALLLLL 23. You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp Qe Bp 12.0% 33% 1.95 11.0 28 1.25 7.3 18 0.60 Market 11.4 1.00 Risk-free 6. 8 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
9. (Market portfolio, CML) In the Golkoland stock market, there are only two listed stocks, Xirkind and Yirkind. The risk-free rate of return in Golkoland is 5%, and the portfolio of Xirkind and Yirkind stocks which has the highest Sharpe ratio is given below: A C 3 Average return 4 Variance of returns 5 Standard deviation 6 Covariance of returns 7 Correlation 8 Risk-free return B DE Xirkind Yirkind 19.84% 15.38% 0.1575 0.1378 39.68% 37.12% <-- SQRT(C4)! -0.0110 -0.0747 <--...
Intro Assume that there are only two stocks in the economy, stock A and stock B. The risk-free asset has a return of 3%. The optimal risky portfolio, i.e., the portfolio with the highest Sharpe ratio, is given below: A BC Stock A Stock B Risk-free asset 2 Expected return 0.062 0.075 0.03 3 Variance 0.1521 0.0484 4 Standard deviation 0.39 0.22 5 Covariance 0.02574 D Optimal risky portfolio 8 Weights 9 Expected return 10 Variance 11 Standard deviation 12...
Most questions answered within 3 hours.
-
A national magazine stated that at most,12% of millennials
have a pool membership. Formulate an appropriate...
asked 5 minutes ago -
Can
you provide the mechanism for enamine hydrolysis. Any example will
work, thank you.
asked 14 minutes ago -
Three of the compounds have ionic bonds (difference in
electronegativity is greater or equal to 2,...
asked 8 minutes ago -
The route followed by a hiker consists of three displacement
vectors A, B, and C. Vector...
asked 12 minutes ago -
Exercise 1. Two players, 1 and 2, take turns choosing numbers; 1
goes first. On his...
asked 32 minutes ago -
Are the following two functions overloaded?
int xyz(int x, int y = 100000);
int xyz(int x,...
asked 40 minutes ago -
An interest rate swap has three years of remaining life.
Payments are exchanged annually. Interest at...
asked 47 minutes ago -
Ensign Johnson is domiciled in Georgia. His wife is domiciled in
New York and moved to...
asked 45 minutes ago -
there are many issues that can be addressed when performing a
RCA. Assuming that there is...
asked 46 minutes ago -
ata pertaining to the postretirement health care benefit plan of
Danielson Delivery Service include the following...
asked 48 minutes ago -
Getting along with the members of your team requires good ____
skills.
a.
authoritative
b.
problem...
asked 55 minutes ago -
During June, Propene Company produced 20,000 chainsaw blades.
The standard quantity of material allowed per unit...
asked 1 hour ago