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Compute the residual risk measure for portfolio A. Round off your final answer to three digits after the decimal point.      Compute the appraisal ratio for portfolio B. Round off your final answer to three digits after the decimal point.

Consider a client with a 10% return objective. A financial adviser creates a policy statement for that client, identifies relevant financial securities that fit the risk return profile for this client, and drafts an optimal asset allocation using specialized optimization techniques. After one year, the financial adviser's recommendations produce a return of 10%. Question: Is this client satisfied with the performance of the portfolio?

What is portfolio A's CAPM beta based on your analysis? Round off your answer to three digits after the decimal points. State your answer as a percentage point as 1.234.   Compute the Treynor measure for portfolio B. Round off your answer to three digits after the decimal point. State your answer as 1.234

During a particular investment period, a wealth management company held an investment portfolio that earned an average return of 13% with standard deviation of 30% and beta of 1.5.  The average risk-free rate of return during this investment period was 2%. (full process)   (a)     Calculate the Sharpe and Treynor measures of performance evaluation for this investment portfolio.                                                 This investment portfolio is composed of the following two asset classes:  Asset Class Weight Return Equity 0.80 15% Bonds 0.20 5%           During this particular investment period, the information on a benchmark portfolio is given in the following table. Asset Class Weight Return Equity (S&P500 Index) 0.50 17% Bonds (Lehman Brothers Index) 0.50 5%   (b)     Determine whether the investment portfolio of the wealth management company performed better than the benchmark portfolio in terms of the total…

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 4.5 6.5 7 6.5 7.5 8 8.5 8.5 13.5 12.5 10 18.5 14.5 a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places. Average annual return Standard deviation of returns Semi-deviation of returns Manager X % % % Manager Y % % % b. Assuming that the average annual risk-free rate during the 10-year sample period was 3.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your answers to three decimal places. Sharpe ratio (Manager X): Sharpe ratio (Manager Y): Based on Sharpe ratio -Select- )…

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Question One Xuemeihas been managing five portfolios for the last year. She has collected the following information and has begun to make several calculations for five two stock portfolios: 1 2 3 4 5 a) b) c) rate of return on NCP = 12% rate of return on NAB = 10% standard deviation of NCP = 15% standard deviation of NAB = 19% covariance = 0.0064 Portfolio Weight in NAB Portfolio Returns 30% 40% 60% 55% 20% Portfolio Variance Portfolio Standard Deviation 3 Assist Xuemei by finishing the calculations for her. That is, complete the missing figures in the table above. Explain to Xuemei why the portfolio standard deviation is not simply the weighted average of the standard deviation of the stocks in the portfolio. Find the weight for NAB that would result in the lowest portfolio variance. Do not restrict your enquiry to the five portfolios.

Portfolio return and standard deviation Jamie Wong is thinking of building an investment portfolio containing two exchange traded funds (ETFs) Jamie plans to invest $2,000 in Vanguard S&P 500 ETF (VOO) and $8,000 in Invesco QQQ Trust (QQQ). Jamie has decided to analyze some historical returns to get a sense for her portfolio's possible future risk and return. Six years of historical annual returns for each ETF are shown in the following table: a. Calculate the portfolio return, rp, for each of the 6 years assuming that 20% is invested in VOO and 80% is invested in QQQ b. Calculate the average annual return for each ETF and the portfolio over the six-year period. c. Calculate the standard deviation of annual returns for each ETF and the portfolio. How does the portfolio standard deviation compare to the standard deviations of the individual ETFs? d. Calculate the correlation coefficient for the two ETFs. How would you characterize the correlation of returns of the two ETFs? e. Discuss…

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 2 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 6 4.5 6.5 7 6.5 7.5 8 8.5 8.5 9 13.5 12.5 10 17.5 13.5   a.    For each manager, calculate the average annual return, the standard deviation of returns, and the semi-deviation of returns.   b.    Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best?   c.     Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best?   d.    When would you expect the Sharpe and…

You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade:   Year Manager X Return (%) Manager Y Return (%) 1   -2.5   -6.5   2   -2.5   -5.5   3   -2.5   -2.0   4   -2.0   4.0   5   0.0   5.5   6   5.5   6.5   7   7.5   7.5   8   9.5   8.5   9   13.5   12.5   10   18.5   14.5     For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places.     Average annual return Standard deviation of returns Semi-deviation of returns Manager X   %   %   % Manager Y   %   %   %   Assuming that the average annual risk-free rate during the 10-year sample period was 1.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your…

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Considering the attached set of securities and portfolio returns: Assume that you initially invested $1,000,000 in the portfolio and that the distribution of the annual rate of return of the portfolio is normal.  What is the distribution of the return of the portfolio 20 years after its formation?  Provide the graph of the distribution of the return of the portfolio.

Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to Excel

A portfolio management organization analyzes 75 stocks and constructs a mean-variance efficient portfolio that is constrained to these 75 stocks. How many estimates of expected returns, variances and covariances are needed to optimize this portfolio? (Using Markowitz Model) 75, 150, 2625 75, 75, 2700 75, 75, 2775 75, 75, 2925 75, 150, 2775.

An investor recorded the following annual returns of one of his investments. You are required to calculate and comment on; 1. Mean return. 2. Variance and standard deviation of the return. 3. Geometric return.     Year 2016 2017 2018 2019 2020 Return 15% 17% 19% 10% -5%

Consider an equal-weighted portfolio that comprises two assets: A and B. The monthly 20. returns for each asset for the first four months of the year are given below. Month 1 Month 2 Month 3 Month 4 Asset A return 5% -2% -3% -6% Asset B return 4% 1% ? 2% If the effective annual rate of return on the equal- weighted portfolio calculated from the geometric sum of monthly portfolio returns is 13.49%, what is the Month 3 return for asset B? Please explain in detail the rationale behind each step.

5. You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Manager X Return (%) Manager Y Return (%) Year -6.5 -1.5 -1.5 -3.5 -1.5 3 -1.5 4 -1.0 3.5 0.0 4.5 4.5 6.5 6.5 7.5 8.5 8.5 13.5 12.5 10 17.5 13.5 a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. b. Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? c. Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best? d. When would you expect the Sharpe and Sortino measures to provide (1) the same per- formance ranking or (2) different performance rankings? Explain.

Beta of portfolio

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Xuemeihas been managing five portfolios for the last year. She has collected the following information and has begun to make several calculations for five two stock portfolios: 1 2 3 4 5 a) b) c) rate of return on NCP = 12% rate of return on NAB = 10% standard deviation of NCP = 15% standard deviation of NAB = 19% covariance = 0.0064 Portfolio Weight in NAB Portfolio Returns 30% 40% 60% 55% 20% Portfolio Variance Portfolio Standard Deviation 3 Assist Xuemei by finishing the calculations for her. That is, complete the missing figures in the table above. Explain to Xuemei why the portfolio standard deviation is not simply the weighted average of the standard deviation of the stocks in the portfolio. Find the weight for NAB that would result in the lowest portfolio variance. Do not restrict your enquiry to the five portfolios.