Question
In: Accounting
The ABC Fund, the Karachi Stock Exchange and T-Bills have had the following returns over the...
The ABC Fund, the Karachi Stock Exchange and T-Bills have had the following returns over the past 5 years:
Year T-bill KSE ABC Fund
Returns % Return% Return%
2011 10 10 14
2012 18 - 8 - 10
2013 14 20 26
2014 12 18 22
2015 16 24 30
Required;
- Determine the Fund’s beta coefficient for the 5 year period of time.
- Determine the Fund’s alpha coefficient for the 5 year.
- Comments the Fund performance in relation to the market returns.
- Correlation coefficient between fund and stock.
- Systematic risk and unsystematic risk.
- Average return from funds and market.
Solutions
ekkarill92 answered 2 years agoRelated Solutions
A universe of securities includes a risky stock (X), a stock-index fund (M), and T-bills. The...
A universe of securities includes a risky stock (X), a
stock-index fund (M), and T-bills. The data for the universe
are:
Expected Return
Standard Deviation
X
20%
60%
M
15%
25%
T-Bill
5%
0%
The correlation coefficient between X and M is -0.8
A. Draw the opportunity set of securities X and M
B. Find the optimal risky portfolio (O), its expected return,
standard deviation, and Sharpe ratio. Compare with the Sharpe ratio
of X and M
C. Find the...
Suppose we have the following returns for large-company stocks and Treasury bills over a six year...
Suppose we have the following returns for large-company stocks
and Treasury bills over a six year period:
Year
Large
Company
US Treasury
Bill
1
3.92
5.90
2
14.18
2.53
3
19.37
3.76
4
–14.31
7.16
5
–31.80
5.42
6
37.08
6.24
a.
Calculate the arithmetic average returns for large-company
stocks and T-bills over this period. (Do not round
intermediate calculations. Enter your answers as a percent rounded
to 2 decimal places, e.g., 32.16.)
Average
returns
Large company
stocks
%
T-bills...
1. The stocks on ABC Company and XYZ Company have the following returns over the last...
1. The stocks on ABC Company
and XYZ Company have the following returns over the last four
years.
Year
ABC returns
XYZ returns
1
-0.2
0.05
2
0.5
0.09
3
0.3
-0.12
4
0.1
0.2
a. Calculate the
average return on
ABC.
(1 mark)
b. Calculate the
average return on
XYZ.
(1 mark)
c. Calculate the
variance and standard deviation on the ABC returns.
(2.5 marks)
d. Calculate the
variance and standard deviation on the XYZ returns.
(2.5...
Suppose we have the following returns for large-company stocks and Treasury bills over a six-year period:...
Suppose we have the following returns for large-company stocks
and Treasury bills over a six-year period:
Year. Large Company. US Treasury Bill
1. 3.99%. 6.65%
2. 14.50. 4.46
3 19.39 4.33
4 -14.29 7.34
5 -31.78 5.44
6 37.10 6.45
a. Calculate the arithmetic average returns for large-company
stocks and T-bills over this period.
b. Calculate the standard deviation of the returns for
large-company stocks and T-bills over this period.
c-1. Calculate the observed risk premium in each year...
Suppose we have the following returns for large-company stocks and Treasury bills over a six-year period:...
Suppose we have the following returns for large-company stocks
and Treasury bills over a six-year period: Year Large Company US
Treasury Bill 1 3.66% 4.66% 2 14.44 2.33 3 19.03 4.12 4 –14.65 5.88
5 –32.14 4.90 6 37.27 6.33 a. Calculate the arithmetic average
returns for large-company stocks and T-bills over this period. (Do
not round intermediate calculations and enter your answers as a
percent rounded to 2 decimal places, e.g., 32.16.) b. Calculate the
standard deviation of the...
Suppose we have the following returns for large-company stocks and Treasury bills over a six-year period:...
Suppose we have the following returns for large-company stocks
and Treasury bills over a six-year period:
Year
Large Company
US Treasury Bill
1
3.69%
4.75%
2
14.48
3.59
3
19.27
4.18
4
–14.41
5.91
5
–31.90
5.32
6
37.51
6.41
a.
Calculate the arithmetic average returns for large-company
stocks and T-bills over this period. (Do not round
intermediate calculations and enter your answers as a percent
rounded to 2 decimal places, e.g., 32.16.)
b.
Calculate the standard deviation of the...
Suppose we have the following returns for large-company stocks and Treasury bills over a six-year period:...
Suppose we have the following returns for large-company stocks
and Treasury bills over a six-year period:
Year
Large Company
US Treasury Bill
1
3.66%
4.66%
2
14.44
2.33
3
19.03
4.12
4
–14.65
5.88
5
–32.14
4.90
6
37.27
6.33
a.
Calculate the arithmetic average returns for large-company
stocks and T-bills over this period. (Do not round
intermediate calculations and enter your answers as a percent
rounded to 2 decimal places, e.g., 32.16.)
b.
Calculate the standard deviation of the...
Suppose we have the following returns for large-company stocks and Treasury bills over a six-period: Year  
Suppose we have the following returns for large-company stocks
and Treasury bills over a six-period:
Year Large
Company US
Treasury Bill
1
3.88%
5.78%
2
14.31
2.45
3
19.05
3.68
4
-14.63
7.12
5
-32.12
4.92
6
37.29
4.89
a. Calculate the arithmetic average returns for large-company
stocks and T-bills over this period.( Do not round intermediate
calculations and enter your answers as a percent rounded to 2
decimal places.)
b. Calculate the standard deviation of the returns for
large-company stocks and...
Stock ABC has monthly returns over the previous year given by the following: Jan Feb Mar...
Stock ABC has monthly returns over the previous year given by
the following: Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec 0.09
0.04 -0.02 -0.04 0.05 -0.03 -0.05 0.02 0.01 0.08 0.11 -0.03
1)Estimate the first two moment of the stock’s monthly return
distribution
2)Suppose you want to estimate the probability of the stock
having monthly returns below -0.06. In the data above, we don’t see
any such months so would the probability of such an...
Q1: Calculate the standard deviation of returns on a stock that had the following returns in...
Q1: Calculate the standard deviation of returns on a
stock that had the following
returns in the past three years:
Year Return
1 9%
2
-12%
3
18%
Q:
A company has a target capital structure of 55% common
stock, 10% preferred
stock, and 35% debt.
Its cost of equity is 13%, the cost of preferred stock is
7%,
and the cost of debt
is 8%. The relevant tax rate is 30%. What is the
company’s
Weighted Average
Cost...
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