00 8 4 points eBook Problem 11-10 Portfolio Returns and Volatilities (LO2, CFA4) Fill in the missing information in the following table. Assume that Portfolio AB is 50 percent invested in Stock A. Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Year 2018 Print 2019 2020 2021 References 2022 Average return Standard deviation Annual Returns on Stocks A and B Stock A Stock B Portfolio AB 11.5 % 21.5 % % 36.8 % -37.7% % -20.6 % 47.7 % % 25.9 % 16.1 % % 13.2 % 24.3% % % % % % % %

The following three stocks are available in the market: E(R) В 10.4% 1.26 Stock A Stock B 13.6 1.06 Stock C 16.1 1.46 Market 14.0 1 Assume the market model is valid. a. The return on the market is 14.8 percent and there are no unsystematic surprises in the returns. What is the return on each stock? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. Assume a portfolio has weights of 30 percent Stock A, 45 percent Stock B, and 25 percent Stock C. The return on the market is 14.8 percent and there are no unsystematic surprises in the returns. What is the return on the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) a. Stock A a. Stock B a. Stock C b. Portfolio return -26.75 % % % %

Problem 8.06 (Expected Returns) Stock A and Bs have the following profitability distributions of expected future returns's Profitability 0.1 0.1 0.5 0.2 0.1 A (890) 니 16 18 31 B (20%) 0 20 27 37 a) Calculate the expected rate of return, FB, for stock B3 (FA= 14,30%) b) Calculate the standard denation of expected returns, OA, for stock A (OB = 15.18% 2 Now calculate the coefficient of variation for stock B. C) Assume the risk-rate is 1.5% What are the Sharpe rutius for Stacks A and B? Stock A. Stock Bi

Fill in the missing information in the following table. Assume that Portfolio AB is 40 percent invested in Stock A. Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Year 2018 2019 2020 2021 2022 Average return Standard deviation Annual Returns on Stocks A and B Stock A Stock B 13.0 % 33.8 % -14.6 % 24.4 % 16.2 % 14.56 % % 21.0% -33.2 % 43.2 % 17.6 % 28.8 % % % Portfolio AB % % % % % % %

Back to Assignment Attempts 0 1. Problem 8.01 (Expected Return) eBook A stock's returns have the following distribution: Average 0 / 4 Standard deviation: Coefficient of variation: Sharpe ratio: 0.1 0.1 0.3 0.3 0.2 1.0 Assume the risk-free rate is 2%. Calculate the stock's expected return, standard deviation, coefficient of variation, and Sharpe ratio. Do not round intermediate calculations. Round your answers to two decimal places. Stock's expected return: % Problem Walk-Through % Demand for the Company's Products Probability of this Demand Occurring Weak Below average Average Above average Strong Rate of Return if this Demand Occurs (30%) (10) 18 37 63

QUESTION 1 Exhibit 5.5 USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)   Stock Rit Rmt ai Beta A 10.6 15 0 0.8 Z 9.8 8.0 0 1.1   Rit = return for stock i during period t Rmt = return for the aggregate market during period t   Refer to Exhibit 5.5. What is the abnormal rate of return for Stock A during period t using only the aggregate market return (ignore differential systematic risk)?   a. 4.40   b. −1.70   c. 3.40   d. −4.40   e. −1.86

Tiempo restante U:28:23 What is the beta of a portfolio that has $18,400 in Stock M, $6,320 in Stock N, $32,900 in Stock O and $11,850 in Stock P. Their Betas are .97, 1.04, 1.23, and .88, respectivley? O a. 1.04 O b. 1.11 О с. 1.08 O d. 1.15 O e. .99

QUESTION 12 Use the table below to answer questions 12 through 15. What is the portfolio tracking error? O A. 81.35 basis points OB. 86.35 basis points O C. 83.35 basis points D. 80.35 basis points Month January February March April May June July August September October November December Portfolio A's Return (%) 2.15 0.89 1.15 -0.47 1.71 0.10 1.04 2.70 0.66 2.15 -1.38 -0.59 Benchmark Index Return (%) 1.65 -0.10 0.52 -0.60 0.65 0.33 2.31 1.10 1.23 2.02 -0.61 -1.20

Compute the abnormal rates of return for the following stocks during period t (ignore differential systematic risk): Stock % % % % BFT % B F T UE Rit = return for stock i during period t Rmt = return for the aggregate market during period t Use a minus sign to enter negative values, if any. Round your answers to one decimal place. ARBE: ARF: ARTI: ARC: AREL: с Rit 11.5% 9.2 12.5 12.5 15.9 Rmt 4.7% 6.2 6.6 15.2 11.1

- (a) 2 Your answer is partially correct. Try again. What is the average return and standard deviation for each stock? (Round answers to 2 decimal p АВС XYZ Average return 6.00 % 6.25 % Standard deviation 8.90 % 1.55 10.28% SHOW SOLUTION LINK TO TEXT LINK TO TEXT v (b) What is the expected portfolio return on a portfolio comprised of i. 25% ABC and 75% XYZ? ii. 50% ABC and 50% XYZ? (Round answers to 3 decimal places, e.g. 5.275.) E(Portfolio Return) 25% ABC and 75% XYZ 50% ABC and 50% XYZ