Question
In: Finance
Chee Chew's portfolio has a beta of 1.29 and earned a return of 13.8 % during...
Chee Chew's portfolio has a beta of 1.29 and earned a return of 13.8 % during the year just ended. The risk-free rate is currently 4.7 % . The return on the market portfolio during the year just ended was 10.7 % .
a.Calculate Jensen's measure (Jensen's alpha) for Chee's portfolio for the year just ended.
b.Compare the performance of Chee's portfolio found in part a to that of Carri Uhl's portfolio, which has a Jensen's measure of negative 0.17 . Which portfolio performed better? Explain.
c.Use your findings in part a to discuss the performance of Chee's portfolio during the period just ended.
a.The Jensen's measure (Jensen's alpha) for Chee's portfolio is nothing . (Round to two decimal places.)
b. Chee's portfolio, with a JM of ▼ 1.36 -0.17 , outperformed Carri's portfolio, with a JM of negative 0.17 . A ▼ positive negative JM indicates that the ▼ actual required return exceeds the ▼ actual required return. A ▼ positive negative return on a portfolio means that it did not earn its ▼ actual required return.
Solutions
jeff jeffy answered 1 year agoRelated Solutions
Chee Chew's portfolio has a beta of 1.23 and earned a return of 13.8% during the...
Chee Chew's portfolio has a beta of 1.23 and earned a return of
13.8% during the year just ended. The risk-free rate is currently
4.7%. The return on the market portfolio during the year just ended
was 11.2%.
a. Calculate Jensen's measure (Jensen's
alpha) for Chee's portfolio for the year just ended.
b. Compare the performance of Chee's portfolio
found in part a to that of Carri Uhl's portfolio,
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During the year just ended, Anna Schultz's portfolio, which
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The risk-free rate is currently 4.2%, and the return on the
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A. Calculate Treynor's measure for Anna's
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b. Compare the performance of Anna's portfolio
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A portfolio manager has maintained an actively managed
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providing returns of about −30%. The portfolio manager produced a
return of −10% and claims that in the circumstances it was
good.A) Discuss this claim, was it a good return, why or why
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0.2? (Show your calculation)
Consider a single factor APT. Portfolio A has a beta of 1.5 and an expected return...
Consider a single factor APT. Portfolio A has a beta of 1.5 and
an expected return of 24%. Portfolio B has a beta of 0.9 and an
expected return of 13%. The risk-free rate of return is 4%. An
arbitrage portfolio in which you take a position in a combination
of the highest beta portfolio and the risk-free asset, and an
opposite position in the other risky portfolio would generate a
rate of return of ______%.
You manage a $100 million portfolio has a beta of 0.92 and an expected return of...
You manage a $100 million portfolio has a beta of 0.92 and an
expected return of 9.8% per year. You intend to invest an
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year, what does the beta of the new investment need to be?
Consider the single factor APT. Portfolio A has a beta of 1.1 and an expected return...
Consider the single factor APT. Portfolio A has a beta of 1.1
and an expected return of 23%. Portfolio B has a beta of .6 and an
expected return of 19%. The risk-free rate of return is 6%. If you
wanted to take advantage of an arbitrage opportunity, you should
take a short position in portfolio __________ and a long position
in portfolio _________.
A;B
B;A
B;B
A;A
Assume the CAPM holds. Portfolio A has a beta of 1.2. Portfolio B has a beta...
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answers listed here. the return on Portfolio A is twice the return
on portfolio B. The return on Portfolio B is twice the return on
Portfolio A. the return on Portfolio A is half the return on
portfolio B. 10 points
. Using the information below, find the expected return and beta of the portfolio. Stock Beta...
. Using the information below, find the
expected return and beta of the portfolio.
Stock
Beta
Return
Investment
Stock A
0.78
7.55%
$ 9,500
Stock B
1.10
9.87%
$20,000
Stock C
2.45
15.66%
$ 5,000
Stock D
1.00
10.22%
$15,500
Portfolio Average Return Standard Deviation Beta A &nb
Portfolio
Average Return Standard
Deviation Beta
A
14.7%
18.6%
1.47
B
8.8
14.2
.78
C
11.2
16.0
1.22
The risk-free rate is 4.5 percent and the market risk
premium is 7 percent.
What is the Treynor ratio of a
portfolio comprised of 30 percent portfolio A, 20 percent portfolio
B, and 50 percent portfolio C?
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