rate positively .. let me know if you need any clarification..
Beta of the stock = Correlation coefficient * SD of market return/SD of Stock return | |||||||||
0.5*0.15/0.2 | |||||||||
0.375 | |||||||||
Ans = | 0.3750 |
3. Suppose that the correlation coefficient between the rates of return on Knowlode Mutual Fund and...
Suppose the correlation coefficient between the rates of return on ABC Mutual Fund and the market portfolio is 0.6. The standard deviations of the rates return are 0.30 for ABC and 0.20 for the market portfolio. How would you combine the fund and the riskless asset to obtain a portfolio with a relative systematic risk (beta) of 0.7? What is your weight on the fund?
Suppose that securities are priced according to the CAPM. You have forecast the correlation coefficient between the rate of return on the High Value Mutual Fund (HVMF) and the market portfolio (M) at 0.8. Your forecasts of the standard deviations of the rate of return are 0.25 for HVFF and 0.20 for M. How would you combine the HVMF and a risk free security to obtain a portfolio with a beta of 1.6? Suppose that rf = 0.10 and E[rm...
In 2011-2015, mutual fund manager, Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. 2011 2012 2013 2014 2015 1.5 +23.3 +41.2 +10.2 +0.2 -0.7 +14.0 +30.7 +11.5 -0.5 Fund Market index Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5.5%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (5) Bond fund (B) The correlation between the fund returns is 0.15 Solve numerically for the proportions of each asset and for the expected...
A pension fund manager is considering three mutual funds. The first is a stock fund the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of th risky funds are The following data apply to Problems 8-12. Standard Deviation 32% 23 Expected Return 15% Stock fund (S Bond fund (B) The correlation between the fund returns is.15 8. Tabulate and draw...
In 2011-2015, mutual fund manager, Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Fund Market index 2011 2012 -1.2 +24.5 -1.0 +17.0 2013 +40.5 +31.5 2014 2015 +11.5 +0.3 +10.8 -0.8 Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal...
In 2011-2015, mutual fund manager, Diana Sauros produced the following percentage rates of return for the Mesozoic Fund. Rates of return on the market index are given for comparison. Fund Market index 2011 -1.5 -0.8 2012 +24.8 +16.0 2013 +40.8 +31.8 2014 +11.8 +11.1 2015 +0.2 -0.6 Calculate (a) the average return on both the Fund and the index, and (b) the standard deviation of the returns on each. (Do not round intermediate calculations. Round your answers to 2 decimal...
Problem 4 Intro The following table shows rates of return for a mutual fund and the market portfolio (S&P 500). C А В 1Year Fund Market 2 1 14% 13% -15% -14% 3 2 4 3 -6% -5% 5 5% 28% 14% 8% 6 5 7 6 8% 5% Attempt 1/10 for 10 pts. Part 1 What is the arithmetic average return for the market portfolio? 3+ decima Submit Attempt 1/10 for 10 pts. Part 2 What is the covariance...
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...
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15 % 32 % Bond fund (B) 9 % 23 % The correlation between the fund returns is 0.15. a. What would be the...