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 7 months 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,
which has a Jensen's measure of negative - 0.18 Which portfolio...
During the year just ended, Anna Schultz's portfolio, which has a beta of 0.98, earned a...
During the year just ended, Anna Schultz's portfolio, which
has a beta of 0.98, earned a return of 8.7%.
The risk-free rate is currently 4.2%, and the return on the
market portfolio during the year just ended was 9.4%.
A. Calculate Treynor's measure for Anna's
portfolio for the year just ended.
b. Compare the performance of Anna's portfolio
found in part a to that of Stacey Quant's
portfolio, which has a Treynor's measure of 1.36%. Which portfolio
performed better? Explain....
Well-diversified portfolio A has a beta of 1.0 and an expected return of 12%. Well-diversified portfolio...
Well-diversified portfolio A has a beta of 1.0 and an expected
return of 12%. Well-diversified portfolio B has a beta of 0.75 and
an expected return of 9%. The risk-free rate is 4%. a. Assuming
that portfolio A is correctly priced (has ?? = 0), what should the
expected return on portfolio B be in equilibrium? b. Explain the
arbitrage opportunity that exists and explain how an investor can
take advantage of it. Give specific details about what to buy...
A portfolio manager has maintained an actively managedportfolio with a beta of 0.2. During the...
A portfolio manager has maintained an actively managed
portfolio with a beta of 0.2. During the last year, the risk-free
rate was 5% and major equity indices performed very badly,
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
not?B) What is the expected return on a portfolio with a beta of
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
additional $40 million in the portfolio so that the expected return
increases to 10.8% per year. If the market risk premium is 5.0% per
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...
Assume the CAPM holds. Portfolio A has a beta of 1.2. Portfolio
B has a beta of 2.4. Which of the following is true? none of the
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
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?
SHOW WORK
Portfolio Risk and Return Given the following portfolio Stock Amount (MV) Beta Return CAPM A $10,000...
Portfolio Risk and
Return
Given the following
portfolio
Stock
Amount (MV)
Beta
Return
CAPM
A
$10,000
1.1
13.50%
B
$5,000
1.4
14.00%
C
$6,000
1.5
7.50%
D
$13,000
0.7
8.50%
E
$16,000
1.9
19.80%
Total
$50,000
Risk free rate
3.00%
market return
12.00%
Portfolio return
Portfolio beta
Portfolio CAPM
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Allocation: Fixed and Variable Costs, Budgeted Fixed and Variable Costs Biotechtron, Inc., has two research laboratories...
- Do you think that there is still institutionalized racial discrimination in the United States today and...
- Computer Security Consider a desktop publishing system used to produce documents for various organizations. a. Give...
- Review the discussion question and answer below. Do you agree with the answer? why or why...
- For the assignment you have to do two thing Passing arguments when running the jar or...
- Explain how biology, culture, and their interaction shape sex differences.
- Write a program that computes the tax and tip on a restaurant bill for a patron...
ADVERTISEMENT