3-25 (similar to) Beta of a portfolio. The beta of four stocks-G, H, I, and J-are 0.46, 0.84, 1.16, and 1.65, respectively. What is the beta of a portfolio with the following weights in each asset What is the beta of portfolio 1? - X (Round to two decimal places.) Data Table (Click on the following icon a in order to copy its contents into a spreadsheet.) Woight in Stock G Woight in Stock H 25% 40% 20% Woight in StockI 25% Woight in Stock J 25% Portfolio 1 Portfolio 2 25% 20% 10% 30% 10% 40% 30% Portfolio 3 Print Done

3-25 (similar to) Beta of a portfolio. The beta of four stocks-G, H, I, and J-are 0.46, 0.84, 1.16, and 1.65, respectively. What is the beta of a portfolio with the following weights in each asset What is the beta of portfolio 1? - X (Round to two decimal places.) Data Table (Click on the following icon a in order to copy its contents into a spreadsheet.) Woight in Stock G Woight in Stock H 25% 40% 20% Woight in StockI 25% Woight in Stock J 25% Portfolio 1 Portfolio 2 25% 20% 10% 30% 10% 40% 30% Portfolio 3 Print Done

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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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 Ratio
Suppose you are given the following information about 2 stocks, what is the return standard deviation of a portfolio weighted 55% in stock A and 45% in stock B? E(RA)=16% E(RB)=8% σA=22% σB=12% σA,B=−0.003696 Enter rate in decimal form, rounded to 4th digit, as in "0.1234"
In reference to the portfolio information presented below, answer the following questions. Portfolio Weighting in Stock K Weighting in Stock L Weighting in Stock M Weighting in Stock N Portfolio 1 25% 25% 25% 25% Portfolio 2 30% 40% 20% 10% Portfolio 3 10% 20% 40% 30% The betas of the above four stocks, K, L, M, and N are 0.65, 0.9, 1.25, and 1.55, respectively. Calculate the beta for each of the portfolio in the above table given the weights in each asset as presented in the table. Show all work and formula(s) clearly. Specify the type of risk (i.e. systematic or unsystematic) beta is generally used to measure.
If the correlation between stock ABC Ltd and market is 0.5, standard deviation on market portfolio is 25, standard deviation of the stock is 27, beta of ABC Ltd is a. 0.54 b. 2.7 c. 2.5 d. 1.25
A portfolio invests in 35% in a stock S1 and the rest in another stock S2. The expected return and standard deviation of S1 are 23% and 35%, respectively. The expected return and standard deviation of S2 are 8% and 14%, respectively. The covariance between the two stocks is 0.0008. What is the standard deviation of the portfolio? Note: Write your answer in decimal (3 or more decimal places). For example, write 0.2544 instead of 25.44%.
If a portfolio of the two assets has a beta of .99, what are the portfolio weights? (Do not round intermediate calculations and round your answers to 2 decimal places, e.g., 32.16.) Weight of stock Risk-free weight
Consider the following information on Stocks I and II: The market risk premium is 8 percent and the risk-free rate is 40.5 percent. a-1. What is the beta of each stock? Note: Do not round Intermedlate calculations. Round your answers to 2 decimal places. a-2. Which stock has the most systematic risk? Stock I Stock II b-1. What is the standard deviation of each stock? Note: Do not round Intermedlate calculations. Enter your answers as a percent rounded to 2 decimal places. b.2. Which one has the most unsystemstic risk? Stock I Stock II c. Which stock is "riskier"? Stock I Stock II
Consider two stocks, Stock D, with an expected return of 13 percent and a standard deviation of 31 percent, and Stock I, an international company, with an expected return of 16 percent and a standard deviation of 35 percent. The correlation between the two stocks is 0.1. What is the weight of stock D in the minimum variance portfolio? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Given two stocks with E(r1) = 8%, E(r2) = 10%, σ1 = 15%, σ2 = 20%. Calculate the expectedreturns and standard deviations of a two-stock portfolio under each of the following conditions:(a) w1 = 0.70, w2 = 0.30, ρ = 0.3; (b) w1 = 0.50, w2 = 0.50, ρ = 0; (c) w1 = 0.30, w2 = 0.70, ρ = −0.3. Here wi is the weight of stock i in the portfolio, ρ is the correlation between the two stockreturns.
Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Common Stock B Probability Return Probability Return 0.35 13% 0.25 −7% 0.30 17% 0.25 8% 0.35 21% 0.25 15% 0.25 23% (Click on the icon in order to copy its contents into a spreadsheet.) Question content area bottom Part 1 a. Given the information in the table, the expected rate of return for stock A is enter your response here%. (Round to two decimal places.)
Syntex, Inc. is considering an investment in one of two common stocks. Given the information that follows, which investment is better, based on the risk (as measured by the standard deviation) and return? Common Stock A Common Stock B Probability Return Probability Return 0.25 13% 0.25 −7% 0.50 14% 0.25 7% 0.25 18% 0.25 16% 0.25 23% (Click on the icon in order to copy its contents into a spreadsheet.) Question content area bottom Part 1 a. Given the information in the table, the expected rate of return for stock A is enter your response here %. (Round to two decimal places.) Part 2 The standard deviation of stock A is enter your response here %. (Round to two decimal places.) Part 3 b. The expected rate of return for stock B is enter your response here %. (Round to two decimal places.) Part 4 The standard deviation for stock B is enter…
The table below shows standard deviations and correlation coefficients for seven stocks from different countries. Calculate the variance of a portfolio with equal investments in each stock. (Use decimals, not percents, in your calculations. Do not round intermediate calculations. Round your answer to 4 decimal places.) \table[[,BHP,,,,Toronto,,],[,Billiton,Siemens,Nestlé,LVMH,Dominion Bank,Samsung,BP],[BHP Billiton,1.00,0.32,0.42,0.36,0.22,0.36,0.19],[Siemens,,1.00,0.33,0.22,0.19,0.36,-0.09],[Nestlé,,,1.00,0.12,0.13,0.05,0.13],[LVMH,,,,1.00,0.30,0.48,-0.04],[Toronto Dominion Bank,,,,,1.00,0.07,-0.07],[Samsung,,,,,,1.00,-0.06],[BP,22.00,33.80,44.80,20.30,14.00,34.50,42.40],[Standard deviation (%),,,,,,,]] Portfolio variance

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