You want to create a portfolio equally as risky as the market, and you have $2,400,000 to invest. Given this information, fill in the rest of the following table: (Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) Asset Investment Beta Stock A $360,000 1.00 Stock B $624,000 1.10 Stock C 1.20 Risk-free asset
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Problem 11-23 Analyzing a Portfolio
You want to create a portfolio equally as risky as the market, and you have $2,400,000 to invest. Given this information, fill in the rest of the following table: (Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) |
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- P QUESTION 21 Answer You invest $100 in a risky asset with an expected rate of return of 0.169 and a standard deviation of 0.15 and a T-bill with a rate of return of 0.05. How to form a portfolio that has an expected outcome of $129? For the toolbar, press ALT+F10(PC) or ALT+FN+F10(Mac). BIUS Paragraph Arial 10pt T πT< 土 √ TT E AV ㄧˇ Ix 田く 田里 训Problem 11-23 Analyzing a Portfolio You want to create a portfolio equally as risky as the market and you have $2,000,000 to invest. Given this information, fill in the rest of the following table: (Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations and round your answers to the nearest whole number, e.g., 32.) Asset Stock A Stock B Stock C Risk-free asset $ $ 69 Investment 400,000 320,000 CONJU Beta 1.20 1.50 1.60Problem 13-18 Optimal Sharpe Portfolio Value-at-Risk (LO3, CFA6) You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 13 percent. respectively. The standard deviations of the assets are 32 percent and 40 percent, respectively. The correlation between the two assets is 47 and the risk-free rate is 3.6 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 16 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %
- Problem 11-23 Analyzing a Portfolio You want to create a portfolio equally as risky as the market and you have $1,000,000 to invest. Given this information, fill in the rest of the following table: (Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations and enter your answers rounded to 2 decimal places, e.g., 32.16.) Asset Stock A Investment Beta $ 195,000 0.80 Stock B $ 365,000 1.09 Stock C | | $ 362,560.18 1.23 Risk-free asset $ 77,439.82 × 0Problem 13-4 Information Ratio (LO1, CFA5) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y 2 Market Risk-free. Rp 12.50% 11.50 7.10 10.50 6.20 Information ratio ºp 34.00% 29.00 19.00 24.00 0 1.50 1.20 0.80 1.00 0 Assume that the tracking error of Portfolio X is 10.50 percent. What is the information ratio for Portfolio X? Note: A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.Problem 13-3 Performance Evaluation (LO1, CFA5) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.0% 13.0 8.5 12.0 7.2 бр 39% 34 24 29 0 Bp 1.50 1.15 0.90 1.00 B What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places. Portfolio X Sharpe Ratio Treynor Ratio Jensen's Alpha % Y % Z % Market %
- Risky Asset E(r) σ (std dev) PA,B 20% 0.30 9% 5% 10% *Rate on Treasure bills (risk-free rate of return) is 2% Given your client's risk assessment survey, you feel a portfolio with moderate risk would be most appropriate. Therefore, you decide to recommend a portfolio with a standard deviation equal to 20%. Given the three financial assets above (A, B, and the risk-free asset), what's the best possible expected return you can generate for your client given this level of risk? Multiple Choice О O 10.11% 6.60% 10.61% 9.17%QUESTION 3 – Risk and ReturnSintok Corporation has collected information on the following three investments. Which investment is the most favourable based on the information presented?Stock A Stock B Stock CProbability Return Probability Return Probability Return0.15 2% 0.25 -3% 0.1 -5%0.4 7% 0.5 20% 0.4 10%0.3 10% 0.25 25% 0.3 15%0.15 15% 0.2 30%✓ Question 4 FI Two assets, Q & R, each have an expected return of 11.75%. Asset Q's standard deviation is 13% and Asset R's standard deviaion is 13.2%. A rational investor will choose: A. Either asset R or asset Q. B. Asset R. C. Asset Q. Question 5 Answers: 2 An investor whose portfolio is not diversified is subject to: Answers: A. systematic risk. Thursday, June 30, 2022 2:15:10 AM EDT W 4+ *3 B. non-systematic risk. C. both systematic risk and non-systematic risk. E $ 4 F4 R с F5 % 5 T F6 6 H Y F7 & 7 F8 U * 00 8 F9 81 L ( 9 F10 - F11 0 *+ F12 P PrtSc [ # 0 c Del Ba
- Please Answer Question 3 full workout. NO SPREAD SHEET Q1 Fill the parts in the above table that are shaded in yellow. You will notice that there are nine line items. Q2 Using the data generated in the previous question (Question 1) a) Plot the Security Market Line (SML) b) Superimpose the CAPM’s required return on the SML c) Indicate which investments will plot on, above and below the SML? d) If an investment’s expected return (mean return) does not plot on the SML, what does it show? Identify undervalued/overvalued investments from the graph Question 3 From the information generated in the previous two questions; a) Identify two investment alternatives that can be combined in a portfolio. Assume a 50-50 investment allocation in each investment alternative b) Compute the expected return of the portfolio thus formed c) Compute the portfolio’s beta. Is the portfolio aggressive or defensive?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 -1.20Using the table below, what is the portfolio beta? Security Security #1 Security #2 Security #3 Security #4 O 1.18 O 1.07 O 1.03 O 1.61 Amount Invested $3500 $4500 $2200 $3400 Beta 0.85 1.24 1.00 1.56