A pension fund manager is considering three mutual funds. The first is a stock fund, thesecond is a long-term government and corporate bond fund, and the third is a T-billmoney market fund that yieldstwo risky funds are:a sure rate of 5.8%. The probability distributions of theExpectedReturn19%StandardDeviationStock fund (S)Bond fund (B)48%42%9%The correlation between the two fund returns is .0762What is the expected return and standard deviation for the minimum-variance portfolioof the two risky funds? (Do not round intermediate calculations. Enter your answer asa percentage rounded to two decimal places.)Expected returnStandard deviation

Cov (S,B) is calculated as follows:

Answered: A pension fund manager is considering…

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 5P

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The file MutualFunds contains a data set with information for 45 mutual funds that are part of the Morningstar Funds 500. The data set includes the following five variables: Fund Type: The type of fund, labeled DE (Domestic Equity), IE (International Equity), and FI (Fixed Income) Net Asset Value (): The closing price per share Five-Year Average Return (%): The average annual return for the fund over the past five years Expense Ratio (%): The percentage of assets deducted each fiscal year for fund expenses Morningstar Rank: The risk adjusted star rating for each fund; Morningstar ranks go from a low of 1 Star to a high of 5 Stars. a. Prepare a PivotTable that gives the frequency count of the data by Fund Type (rows) and the five-year average annual return (columns). Use classes of 09.99, 1019.99, 2029.99, 3039.99, 4049.99, and 5059.99 for the Five-Year Average Return (%). b. What conclusions can you draw about the fund type and the average return over the past five years?
Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of 14.4% and standard deviation of 4.4%. a. What is the probability that the large-cap stock fund has a return of at least 20%? b. What is the probability that the large-cap stock fund has a return of 10% or less?
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 17% 32% Bond fund (B) 11% 23% The correlation between the fund returns is 0.25. Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) Portfolio Invested in Stock ____ % Portfolio Invested in the bond ____% Expected Return ____% Standard Deviation ___%
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5.4%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 15% 44% Bond fund (B) 8 38 The correlation between the fund returns is 0.15.Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places. Omit the "%" sign in your response.)
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 40% Bond fund (B) 9% 31% The correlation between the fund returns is 0.15. Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.)
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 19% 34% Bond fund (B) 10 18 The correlation between the fund returns is 0.11. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) portfolio invested in the stock portfolio invested in the bond expected return standard deviation
[The following information applies to the questions displayed below.] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 40% Bond fund (B) 9% 31% The correlation between the fund returns is 0.15. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (s) 20% 30% Bond fund (b) 12 15 The correlation between the fund returns is .10.Tabulate and draw the investment opportunity set of the two risky funds. Use investment proportions for the stock fund of 0% to 100% in increments of 20%.
[The following information applies to the questions displayed below.] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 16% 40% Bond fund (B) 10% 31% The correlation between the fund returns is 0.11. Required: What is the Sharpe ratio of the best feasible CAL?
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected ReturnStandard DeviationStock fund (S)17%32%Bond fund (B)11%23% The correlation between the fund returns is 0.25. Required: Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places.) PORTFOLIO INVESTED IN THE STOCKS PORTFOLIO INVESTED IN THE BONDS EXPECTED RETURN STANDARD DEVIATION PLEASE ANSWER ASAP.
A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund 20% 30% Bond Fund 12 15 The correlation between the fund returns is 0.10. Tabulate the investment opportunity set of the two risky funds. (Round your answers to 2 decimal places.) Proportion in Stock fund Proportion in bond fund Expexted return Standard deviation 0% 100% 20% 80% 40% 60% 60% 40% 80% 20% 100% 0%
The following information applies to the questions displayed below A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5% The probability distributions of the risky funds are: Stock fund Bond fund Expected Return 17% 11 Standard Deviation 34% 25 The correlation between the fund returns is 0.15. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio

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