Question
In: Finance
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
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
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...
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
Use the following table to complete questions 1-3. S&P 500 returns and the risk-free rate of...
Use the following table to complete questions 1-3. S&P 500
returns and the risk-free rate of return can take on the following
possible values with the given probabilities.
State Pi S&P 500 Returns Risk-Free Rate
Recession 0.25 -10% 8%
Low Pullback 0.25 -5% 8%
No Growth 0.25 0% 8%
Low Growth 0.25 5% 8%
1. What is the expected value of S&P 500 returns? What is the
expected value of risk-free returns?
2. What is the variance and standard deviation...
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...
Using the following returns, calculate the arithmetic average returns, the standard deviations, and the geometric average...
Using the following returns, calculate the arithmetic average
returns, the standard deviations, and the geometric average returns
for the stock A, B, and C. Assume the returns of stocks are
normally distributed. If Mr. Wong owns a stock C, based on the
historical return data, there is only a 2.5 percent chance that the
stock C will produce a return less than _____ percent in any one
year. If Mr. Wong owns a stock B, which range of
returns would...
Using the following returns, calculate the arithmetic average returns, the standard deviations, and the geometric average...
Using the following returns, calculate the arithmetic average
returns, the standard deviations, and the geometric average returns
for the stock A, B, and C. Assume the returns of stocks are
normally distributed. If Mr. WENG owns a stock C, based on the
historical return data, there is only a 2.5 percent chance that the
stock C will produce a return less than _____ percent in any one
year. If Mr. WENG owns a stock B, which range of
returns would...
The expected returns on the VBINX and PRWCX funds are 17% and 8% with standard deviations...
The expected returns on the VBINX and PRWCX funds are 17% and 8%
with standard deviations of 60% and 10%, respectively. The
correlation between these funds is 0.1, and the yield on 90-day
T-Bills is 2%. If you wish to construct the optimal risky portfolio
on the investment opportunity set comprised of these two assets,
how should you allocate your investment between these funds? IF
using Excel, please show all steps.
Given the weights you computed in question 1, what...
Using the following returns, calculate the arithmetic average returns, the variances, and the standard deviations for...
Using the following returns, calculate the arithmetic average
returns, the variances, and the standard deviations for X and Y.
Returns Year X Y 1 11 % 23 % 2 29 44 3 18 -11 4 -19 -25 5 20 52
Using the following returns, calculate the arithmetic average
returns, the variances, and the standard deviations for X and
Y.
Returns
Year
X
Y
1
11 %
23 %
2
29
44
3
18
-11...
Using the following returns, calculate the arithmetic average returns, the variances, and the standard deviations for...
Using the following returns, calculate the arithmetic average
returns, the variances, and the standard deviations for X and Y.
Returns Year X Y 1 11 % 23 % 2 29 44 3 18 -11 4 -19 -25 5 20 52
Using the following returns, calculate the arithmetic average
returns, the variances, and the standard deviations for X and
Y.
Returns
Year
X
Y
1
11 %
23 %
2
29
44
3
18
-11...
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