Question

In: Finance

The risk-free rate, S&P 500 index, and the average return, standard deviation, beta, and residual standard...

  1. 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.

  1. Use the following table.

Your Portfolio

Benchmark Portfolio

Weight

Return

Weight

Return

Bonds

Stocks

20%

80%

6%

12%

40%

60%

4%

8%
  1. Figure out your portfolio return and the total extra return.
  2. Figure out the contribution of security/sector selection.

Solutions

Expert Solution

jeff jeffy answered 1 year ago
Next > < Previous

Related 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 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...
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
ADVERTISEMENT
Subjects
ADVERTISEMENT
Latest Questions
ADVERTISEMENT