You proposed a portfolio for your client with 60% in stock A and 40% in stock...

You proposed a portfolio for your client with 60% in stock A and 40% in stock B. Stock A has an average weekly return of 0.88% and stock B has an average weekly return of 1.32%. Beta for stock A and B are 0.8 and 1.3 respectively. Now you want to deliver a performance report to the client regarding portfolio performance on a weekly basis. (a). What’s the portfolio average weekly return?

(b). What’s the portfolio beta?

(c). You have calculated the portfolio weekly standard deviation: 3.9%. What’s the Sharpe ratio of the portfolio? Assuming weekly market return is 0.9% and weekly riskfree rate is 0.04%.

(d). Still assume the portfolio weekly standard deviation is 3.9%, weekly market return is 0.9% and weekly risk-free rate is 0.04%, what’s Jensen’s Alpha of the portfolio?

Expert Solution

jeff jeffy answered 4 months ago

Your client chooses to invest 40% in your portfolio (p) and 60% (f) in the risk-free asset. What is the standard deviation of your client’s portfolio?

You are a manager of a risky portfolio (consists of bonds and stocks) with an expected return E(rp) = 8% and standard deviation stdevp = 12%. The risk free rate rf = 2% and the standard deviation of the risk free asset is stdevf = 0% 7. Your client chooses to invest 40% in your portfolio (p) and 60% (f) in the risk-free asset. What is the expected return?1. Your client chooses to invest 40% in your portfolio (p) and...

You put 60% of your money in a stock portfolio that has an expected return of...

You put 60% of your money in a stock portfolio that has an expected return of 14% and a standard deviation of 26%. You put the rest of your money in a risky bond portfolio that has an expected return of 6% and a standard deviation of 11%. The stock and bond portfolios have a correlation of 0.36. The standard deviation of the resulting portfolio is %. Please enter your answer with TWO decimal points.

You decide to invest in a portfolio consisting of 40 percent Stock A, 40 percent Stock...

You decide to invest in a portfolio consisting of 40 percent Stock A, 40 percent Stock B, and the remainder in Stock C. Based on the following information, what is the expected return of your portfolio? State of Economy Probability of State Return if State Occurs of Economy Stock A Stock B Stock Recession .23 - 17.0 % - 3.0 % - 21.9 % Normal .49 12.0 % 7.6 % 16.2 % Boom .28 26.8 % 14.9 %...

1. Calculate the standard deviation of a portfolio consisting of 40 percent stock P and 60...

1. Calculate the standard deviation of a portfolio consisting of 40 percent stock P and 60 percent stock Q. Company Beta Expected Return Variance Correlation Coefficient P 1.3 28% 0.30 CORRP,Q = 0.3 Q 2.6 12% 0.16 Round to the nearset hundredth percent. Answer in the percent format. Do not include % sign in your answer (i.e. If your answer is 4.33%, type 4.33 without a % sign at the end.) 2. What is the beta of the following portfolio?...

Your client wants to purchase stock on margin. You assess the client and the stock and...

Your client wants to purchase stock on margin. You assess the client and the stock and decide that a 40% margin is appropriate. Commissions are 1% and the rate of interest on margin loans is 8%. The current price of the stock is $100/share and your client wants to purchase 1,000 shares. a. How much cash must your client put into the acc ount to support the initial purchase? b. Below what price would the price of the stock have...

Your portfolio has 40% of its funds invested in IBM and 60% invested in GM. IBM...

Your portfolio has 40% of its funds invested in IBM and 60% invested in GM. IBM stock has a standard deviation of 30% and GM stock has a standard deviation of 50%. The correlation between IBM and GM stock returns is 0.7. What is the standard deviation of your portfolio return

An investor chooses to invest 60% of a portfolio in a risky fund and 40% in...

An investor chooses to invest 60% of a portfolio in a risky fund and 40% in a T-bill fund. The expected return of the risky portfolio is 17% and the standard deviation is 27%. The T-bill rate is 7%. What is the expected return and the standard deviation of the investor? What is the Sharpe ratio of the risky portfolio and the investor’s overall portfolio? Suppose the investor decides to invest a proportion (y) of his total budget in the...

Your client has $100,000 invested in stock A. She would like to build a two-stock portfolio...

Your client has $100,000 invested in stock A. She would like to build a two-stock portfolio by investing another $100,000 in either stock B or C. She wants a portfolio with an expected return of at least 13.5% and a low a risk as possible, the standard deviation must be no more than 30%. What do you advise her to do (Rationalize your answer), and what will be the expected return and deviation of the recommended portfolio? (Please Show Calculations)....

Your client has $96,000 invested in stock A. She would like to build a two-stock portfolio...

Your client has $96,000 invested in stock A. She would like to build a two-stock portfolio by investing another $96,000 in either stock B or C. She wants a portfolio with an expected return of at least 14.5% and as low a risk as possible, but the standard deviation must be no more than 40%. What do you advise her to do, and what will be the portfolio expected return and standard deviation? Expected Return Standard Deviation Correlation with A...

You decide to invest in a portfolio consisting of 19 percent Stock X, 40 percent Stock...

You decide to invest in a portfolio consisting of 19 percent Stock X, 40 percent Stock Y, and the remainder in Stock Z. Based on the following information, what is the standard deviation of your portfolio? State of Economy Probability of State Return if State Occurs of Economy Stock X Stock Y Stock Z Normal .78 9.40% 2.80% 11.80% Boom .22 16.70% 24.70% 16.20% 7.22% 6.19% 2.45% 1.84% 4.95%

Question