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In: Finance
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 Portfolio |
Benchmark Portfolio |
|||
|
Weight |
Return |
Weight |
Return |
|
|
Bonds Stocks |
20% 80% |
6% 12% |
40% 60% |
4% 8% |
3.Figure out your portfolio return and the total extra return.
4.Figure out the contribution of security/sector selection.
We have a bond with a coupon rate of 12% paid annually, 3 years to maturity, a par value of $1,000, and the yield to maturity of 1$0%.
5.Figure out the duration of the bond.
6.You believe that the Fed is about to increase interest rates by 60 basis points (0.6%). Figure out the percentage change in the bond price using the duration. (If you cannot figure out the duration above, please use a duration of 3.)
Solutions
jeff jeffy answered 2 years agoRelated Solutions
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...
security beta Standard deviation Expected return S&P 500 1.0 20% 10% Risk free security 0 0...
security
beta
Standard deviation
Expected return
S&P 500
1.0
20%
10%
Risk free security
0
0
4%
Stock d
( )
30%
13%
Stock e
0.8
15%
( )
Stock f
1.2
25%
( )
3) If stock F has an average return of 12%,
1. find the expected return based on CAPM equation and beta
1.2
2. find the abnormal returns, alpha
The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500...
The risk-free rate, average returns, standard deviations, and
betas for three funds and the S&P 500 are given below.
FUND
AVG
STD DEV
BETA
A
18%
30%
1.05
B
25%
35%
1.3
C
20%
25%
1.2
S&P 500
15%
20%
1.0
Rf
5%
If these portfolios are subcomponents that make up part of a
well-diversified portfolio, then portfolio ______ is preferred.
a. fund a
b. fund b
c. fund c
d. s&p 500
What is the average monthly return and standard deviation of returns for (i) S&P 500: Date...
What is the average monthly return and standard deviation of
returns for
(i) S&P 500:
Date
Adj Close
8/1/2015
1972.18
9/1/2015
1920.03
########
2079.36
########
2080.41
########
2043.94
1/1/2016
1940.24
2/1/2016
1932.23
3/1/2016
2059.74
4/1/2016
2065.3
5/1/2016
2096.95
6/1/2016
2098.86
7/1/2016
2173.6
8/1/2016
2170.95
9/1/2016
2168.27
########
2126.15
########
2198.81
########
2238.83
1/1/2017
2278.87
2/1/2017
2363.64
3/1/2017
2362.72
4/1/2017
2384.2
5/1/2017
2411.8
6/1/2017
2423.41
7/1/2017
2470.3
8/1/2017
2471.65
9/1/2017
2519.36
########
2575.26
########
2584.84
########
2673.61
1/1/2018
2823.81
2/1/2018
2713.83...
Calculate Adidas' and S&P 500 Index's average rate of returns and standard deviation, based on the...
Calculate Adidas' and S&P 500 Index's average rate of
returns and standard deviation, based on the data below.
DATA
Month
Adidas
S&P 500
Stock Prices
Index
Jan-19
52.9
2368.45
Feb-19
67.16
2363.64
Mar-19
68.73
2362.72
Apr-19
65.41
2384.2
May-19
62.99
2411.8
Jun-19
70.1
2423.41
Jul-19
69.05
2470.3
Aug-19
62.81
2471.65
Sep-19
61.85
2519.36
Oct-19
64.99
2575.26
Nov-19
70.42
2647.58
Dec-19
72.55
2673.61
If a company has a beta of 1.3, risk free rate 3% and market index return...
If a company has a beta of 1.3, risk free rate 3% and market
index return 8% Q5: what is market risk premium? what is cost of
equity?
You estimate that a passive portfolio invested to mimic the S&P 500 stock index yields an expected rate of return of 10% with a standard deviation of 19%.
You estimate that a passive portfolio invested to mimic the S&P 500 stock index yields an expected rate of return of 10% with a standard deviation of 19%. Assume you manage a risky portfolio with an expected rate of return of 12% and a standard deviation of 24%. The T-bill rate is 5%. Your client would like to switch an 80% allocation in your portfolio to an 80% allocation in the stock market index. What would the standard deviation of...
The S&P 500 index currently stands at 2,700 and has a volatility of 11%. The risk-free...
The S&P 500 index currently stands at 2,700 and has a
volatility of 11%. The risk-free interest rate is 2% and the
dividend yield on the index is 4%.
a.) Use Black-Scholes to value a three-month European put option
with a strike price of 2,500.
b.) Use Black-Scholes to value a one-year European call option
with a strike price of 3,000.
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
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
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