Question
In: Finance
The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and...
- The return, standard deviation, market risk premium and Beta (β) of A, B, C, D and the Market Portfolio and the risk-free interest rate are given in the table below. Find the performance of portfolios (excluding Sortino). PREPARED BY HANDWRİTİNG.
|
portfolio |
return (rp) |
risk free interest rate (rf) |
std. deviation |
Beta |
market risk premium (rp-rf) |
|
A |
18,00 |
11,00 |
6,00 |
1,24 |
7,00 |
|
B |
12,00 |
11,00 |
2,00 |
0,87 |
1,00 |
|
C |
9,00 |
11,00 |
0,50 |
- 0,73 |
- 2,00 |
|
D |
15,00 |
11,00 |
3,00 |
0,46 |
4,00 |
|
Market |
13,00 |
11,00 |
1,50 |
1 |
2,00 |
Solutions
jeff jeffy answered 3 years agoRelated Solutions
Explain the concepts: A. Risk free return B. Risk Premium C. Efficient Market Hypothesis D. Dividend...
Explain the concepts:
A. Risk free return
B. Risk Premium
C. Efficient Market Hypothesis
D. Dividend Yield
Throughout this problem assume that the expected market risk premium is 4% with a standard deviation...
Throughout this problem assume that the expected market risk
premium is 4% with a standard deviation of 20% and that the
risk-free interest rate is 0%.
A stock has a beta of 2.1.
Question: Explain what beta measures and compute the stock’s
expected return.
The risk-free rate, S&P 500 index, and the average return, standard deviation, beta, and residual standard...
The risk-free rate, S&P 500 index, and the average return,
standard deviation, beta, and residual standard deviation for three
funds are given.
Fund
Avg. Return
Std. Dev.
Beta
Residual Std. Dev.
A
B
C
S&P 500
Risk-free
18
25
22
12
4
15
30
20
10
0
1.3
1.4
1.2
1.0
0
1.5
2.5
3.0
1.Figure out the M2 measure for Fund A and B
2.Figure out the best fund based on the information ratio
Use the following table.
Your...
The risk-free rate, S&P 500 index, and the average return, standard deviation, beta, and residual standard...
The risk-free rate, S&P 500 index, and the average return,
standard deviation, beta, and residual standard deviation for three
funds are given.
Fund
Avg. Return
Std. Dev.
Beta
Residual Std. Dev.
A
B
C
S&P 500
Risk-free
18
25
22
12
4
15
30
20
10
0
1.3
1.4
1.2
1.0
0
1.5
2.5
3.0
Figure out the M2 measure
for Fund A and B.
Figure out the best fund based on the information
ratio.
Use the following table.
Your...
If the market risk premium is 2%, the risk-free rate is 4.4% and the beta of...
If the market risk premium is 2%, the risk-free rate is 4.4% and
the beta of a stock is 1.2, what is the expected return of the
stock?
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
The market expected return is 14% with a standard deviation of 18%. The risk-free rate is...
The market expected return is 14% with a standard deviation of
18%. The risk-free rate is 6%. Security XYZ has just paid a
dividend of $1 and has a current price of $13.95. What is the beta
of Security XYZ if its dividend is expected to grow at 6% per year
indefinitely?
1.05
0.85
0.90
0.95
using examples explain following a)fund beta b)fund standard deviation c) portfolio beta.
using examples explain following a)fund beta b)fund standard
deviation c) portfolio beta.
What are the differences among the Market return, the Market risk premium, the Market risk price,...
What are the differences among the Market return, the Market
risk premium, the Market risk price, and the return on an
individual asset or a portfolio of assets versus the asset’s or
portfolio’s risk premium?
A stock's beta is 5, the market risk premium is 6%, and the risk-free rate...
A stock's beta is 5, the market risk premium is 6%, and the
risk-free rate is 2%. According to the CAPM, what discount rate
should you use when valuing the stock?
A stock's beta is 1.5, the expected market return is 6%, and
the risk-free rate is 2%. According to the CAPM, what discount rate
should you use when valuing the stock?
You have 2 assets to choose from when forming a portfolio: the
market portfolio and a risk-free...
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