Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12%...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12% and 16%, respectively. The beta of A is 0.7, while that of B is 1.4. The T-bill rate is currently 5%, whereas the expected rate of return of the S&P 500 index is 13%. The standard deviation of portfolio A is 12% annually, that of B is 31%, and that of the S&P 500 index is 18%.
a. Calculate the alphas for the two portfolios. (Round your answers to 1 decimal place.)
Portfolio A:
Portfolio B:
b. If you could invest only in T-bills and one of these portfolios, which would you choose?
A or B?
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Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12%...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12% and 16%, respectively. The beta of A is 0.7, while that of B is 1.4. The T-bill rate is currently 5%, whereas the expected rate of return of the S&P 500 index is 13%. The standard deviation of portfolio A is 12% annually, that of Bis 31%, and that of the S&P 500 index is 18%. a. Calculate the...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 7.1% and 8.3%, respectively. The beta of A is .6, while that of B is 1.5. The T-bill rate is currently 4%, while the expected rate of return of the S&P 500 index is 8%. The standard deviation of portfolio A is 21% annually, while that of B is 42%, and that of the index is 31% Think about what...
Based on current dividend yields and expected capital gains, the expected rate of returns on portfolio...
Based on current dividend yields and expected capital gains, the expected rate of returns on portfolio A and B are 10% and 11% respectively. The beta of portfolio A is 0.80 while that of B is 1.4. risk-free rate is 6%, while expected return of the market portfolio is 10%. The standard deviation of portfolio A is 25% , while that of B is 22%, and that of the stock market index is 20%. (a) If you currently hold a...
Question 5 (8 points) a. The expected rates of return for stocks A and B are...
Question 5 (8 points) a. The expected rates of return for stocks A and B are 16% and 20% respectively. The beta of stock A is 0.7 while that of stock B is 0.8. The T-bill rate is 4% and the expected rate of return on S&P 500 index is 24%. The standard deviation of stock A is 20% while that of B is 32%. If you could invest only in T-bills plus one of these stocks, which stock would...
a. Based on the current portfolio composition and the expected rates of return given above, what is the expected rate...
a. Based on the current portfolio composition and the expected
rates of return given above, what is the expected rate of return
for Barry's portfolio?
b. Barry is considering a reallocation of his investments to
include more Treasury bills and less exposure to emerging markets.
If Barry moves all of his money from the emerging market fund and
puts it in Treasury bills, what will be the expected rate of
return on the resulting portfolio?
(Portfolio expected rate of return)...
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...
For Problems 10 through 12: Consider historical data showing that the average annual rate of return...
For Problems 10 through 12: Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 90 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5% 10. Calculate the expected return and variance of portfolios invested in T-bills...
Assume that you manage a risky portfolio with an expected rate of return of 17% and...
Assume that you manage a risky portfolio with an expected rate of return of 17% and a standard deviation of 27%. The T-bill rate is 7%. You estimate that a passive portfolio invested to mimic the S&P 500 stock index yields an expected rate of return of 13% with a standard deviation of 25%. a. What is the slope of the CML?
1. Consider historical data showing that the average annual rate of return on the S&P 500...
1. Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index...
Security Beta T-Bill= 1.4% 1.22 S& P 500 8% 0.84 2.21 0.67 Е 0.36 Based on the CAPM, what are the expected retu...
Security Beta T-Bill= 1.4% 1.22 S& P 500 8% 0.84 2.21 0.67 Е 0.36 Based on the CAPM, what are the expected returns on the 5 stocks (A, B, C, D, E)? (12 points) If you invest 30% in the S & P 500, 20% in T-Bill, and 10 % each in the 5 stocks, what is the beta of your portfolio? (4 points) ABCD
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 12% and 16%, respectively. The beta of A is 0.7, while that of B is 1.4. The T-bill rate is currently 5%, whereas the expected rate of return of the S&P 500 index is 13%. The standard deviation of portfolio A is 12% annually, that of Bis 31%, and that of the S&P 500 index is 18%. a. Calculate the...
Based on current dividend yields and expected capital gains, the expected rates of return on portfolios A and B are 7.1% and 8.3%, respectively. The beta of A is .6, while that of B is 1.5. The T-bill rate is currently 4%, while the expected rate of return of the S&P 500 index is 8%. The standard deviation of portfolio A is 21% annually, while that of B is 42%, and that of the index is 31% Think about what...
Question 5 (8 points) a. The expected rates of return for stocks A and B are 16% and 20% respectively. The beta of stock A is 0.7 while that of stock B is 0.8. The T-bill rate is 4% and the expected rate of return on S&P 500 index is 24%. The standard deviation of stock A is 20% while that of B is 32%. If you could invest only in T-bills plus one of these stocks, which stock would...
a. Based on the current portfolio composition and the expected
rates of return given above, what is the expected rate of return
for Barry's portfolio?
b. Barry is considering a reallocation of his investments to
include more Treasury bills and less exposure to emerging markets.
If Barry moves all of his money from the emerging market fund and
puts it in Treasury bills, what will be the expected rate of
return on the resulting portfolio?
(Portfolio expected rate of return)...
For Problems 10 through 12: Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 90 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 5% 10. Calculate the expected return and variance of portfolios invested in T-bills...
Security Beta T-Bill= 1.4% 1.22 S& P 500 8% 0.84 2.21 0.67 Е 0.36 Based on the CAPM, what are the expected returns on the 5 stocks (A, B, C, D, E)? (12 points) If you invest 30% in the S & P 500, 20% in T-Bill, and 10 % each in the 5 stocks, what is the beta of your portfolio? (4 points) ABCD
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