An investor owns a portfolio consisting of two mutual funds, A and B, with 35% invested in A. The following table lists the inputs for these funds. Measures Expected value Variance Covariance Fund A 19 91 Fund B 13 37 26 a. Calculate the expected value for the portfolio return. (Round your answer to 2 decimal places.) Expected value 15.10 b. Calculate the standard deviation for the portfolio return. (Round intermediate calculations to at least 4 decimal places. Round your final answer to 2 decimal places.)
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- The following portfolios are being considered for investment. During the period under consideration, RFR = 0.08. Portfolio Return Beta σi P 0.14 1.00 0.05 Q 0.20 1.30 0.11 R 0.10 0.60 0.03 S 0.17 1.20 0.06 Market 0.12 1.00 0.04 Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Sharpe measure P Q R S Market Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Treynor measure P Q R S MarketTwo investments, X and Y, have the characteristics shown below. E(X) = $70, E(Y)3D$120, o =7,000, a = 14,000, and ory =7,500 If the weight of portfolio assets assigned to investment X is 0.3, compute the a. portfolio expected return and b. portfolio risk. a. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio expected retum is $ (Type an integer or a decimal.) b. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio risk is approximately $. (Round to two decimal places as needed.)The following data are available for two assets A and B: E(rA) = 13% E(rB) = 15% s(rA) = 22% s(rB) = 24% rA,B = 0 Let WA and WB denote the proportions of funds invested in assets A and B such that WA + WB=1. If portfolio has to be a minimum risk portfolio, find the weights.
- Suppose you manage an equity fund with the following securities. Use the following data to calculate the information ratio of each stock. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Required: Using the information in the table above, please calculate the information ratio for each stock. (Use cells A5 to D8 from the given information to complete this question.) Vogt Industries Isher Corporation Hedrock, Incorporated Information RatioCalculate the standard deviation of a portfolio with 0.24 invested in Asset A, 0.33 invested in Asset B, and the rest invested in Asset C. Express your answer as a decimal with four digits after the decimal point (e.g., 0.1234, not 12,34%). Std Dev(A) = 0.43, Std Devirg) = 0.67. Std Dev(rc)=0.53 Correlation(A) =-0.24, Correlation(Arc)-0.32, Correlationirere)=0.09 Type your answer.....Using the return data on portfolios A and B provided in the accompanying spreadsheet, compute the return volatility for portfolio A. Round off your answer to three digits after the decimal point. State your answer as a percentage point, such as 1.234.
- A portrollo consists of assets with the following expected returns: Technology stocks Pharmaceutical stocks Utility stocks Savings account a. What is the expected return on the portfolio if the investor spends an equal amount on each asset? Round your answer to two decimal places. % 26% 16 9 4 b. What is the expected return on the portfolio if the investor puts 53 percent of available funds in technology stocks, 15 percent in pharmaceutical stocks, 14 percent in utility stocks, and 18 percent in the savings account? Round your answer to two decimal places. %Consider a portfolio comprise of three securities in the following proportion and with the indicated securities beta. Security Amount Invested Beta Expected return A 1.5million 1.0 12% B 1million 1.5 13.5% C 2million 0.8 9% Calculate the portfolio’s; Beta Expected return Determine whether this portfolio have more or less systematic risk than an average asset.1). Big Rock has several investment portfolios with a local mutual fund company. One of thecompany’s directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% C 10% 1.2 5% 4% E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for each portfolio.a. What is the Sharpe measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? b. What is the Treynor measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? 2). When you were at lunch, you overheard a heated conversation between two employees ofBig Rock. One was arguing a case for active fund management strategies and the otherwas arguing a case for passive fund management strategies.…
- A portfolio manager is considering investing in two mutual funds and the risk free asset (T-Bills). The data for these securities is give by: ER. σ Stock Fund (S) 18% 23% Bond Fund(B) 6% 13% T-Bill 5% 0% The correlation between the two funds is -0.1 One mutual fund’s portfolio, M, is reached by investing 42% in stocks and 58% in bonds. Calculate the expected return, standard deviation and Sharpe Ratio of this and draw the Capital Allocation Line (CAL) that is associated with the portfolio M you calculated in (a). In addition, sketch the minimum variance frontier in the same graph (no further calculations needed). Indicate on your graph which part of the frontier is the efficient set.A fund manager can invest in any combination of the three assets with the following expected returns and standard deviations: Asset 1: r1 = 2%, σ1 = 2% Asset 2: r2 = 6%, σ2 = 6% Asset 3: r3 = 4%, σ3 = 4% All three assets returns are uncorrelated: p12 = p13 =p 23 = 0 . Find a portfolio consisting of these three assets that achieves an expected return of 4% with the lowest risk possible. Show all steps.Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Information Ratio 0.1026 0.1250 0.1416 Alpha/Residual Variance 0.877 2.604 1.253 Market Data S&P 500 Treasury Bills Expected Raturn 12.00% 2.50% Standard Deviation 20.00% 0.00% Required: Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta. (Use cells A5 to D14 from the given information to complete this question.) Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…