A portfolio has a duration of 4.75 and a convexity of 30. Approximate the percent change in the portfolio's value if interest rates increase 1%.
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A portfolio has a duration of 4.75 and a convexity of 30. Approximate the percent change in the portfolio's value if interest rates increase 1%.
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- A portfolio consists of two securities: a 90-day T-bill and the S&P/TSX Composite. The expected return on the T-bill is 4.5%. The expected return on the S&P/TSX Composite is 12% with a standard deviation of 20%. What is the portfolio standard deviation if the expected return for this portfolio is 15%?Suppose the next month rate of return on a portfolio (worth $1M) is distributed as follows. Return Rate -0.05 -0.03 -0.01 0.00 0.01 0.03 0.04 0.07 0.10 0.12 Probability 1% 1.5% 2.5% 5% 10% 20% 25% 20% 10% 5% What is the expected rate of return given that the return is known to be greater than or equal to 4%?Security F has an expected return of 10 percent and a standard deviation of 43 percent per year. Security G has an expected return of 15 percent and a standard deviation of 62 percent per year. Required: (a) What is the expected return on a portfolio composed of 30 percent of Security F and 70 percent of Security G? (b) If the correlation between the returns of Security F and Security G is .25, what is the standard deviation of the portfolio described in part (a)?
- A portfolio has an expected annual return of 14.9 percent and a standard deviation of 18.5 percent. What is the smallest expected loss over the next 25 days given a probability of 1.0%? Note 1.0% =z=2.326 A. -8.25% B. -10.25% C. -12.25% D. -14.25%A portfolio has a 4.0 percent chance of losing 15 percent or more according to the VaR when T = 1.This can be interpreted to mean that the portfolio is expected to have an annual loss of 15 percent or more once in every how many years?Assume the riskless rate of interest is 2% per year, and the expected rate of return on the market portfolio is 8% per year. According to the CAPM, what is the efficient way for an investor to achieve an expected rate of return of 5% per year? If the standard deviation of the rate of return on the market portfolio is 4%, what is the standard deviation of the portfolio producing the 5% expected return? • Plot the CML and locate the foregoing portfolios on the same graph. • Plot the SML and locate the foregoing portfolios on the same graph.
- These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? What is the portfolio yield (i.e., portfolio internal rate of return)?If the T Bill rate is 1.1% and the market risk premium is 10.8%, what is the CAPM-implied expected return on a portfolio invested 50% in the risk-free asset and 50% in the market?Enter your answer as a percentage rounded to 2 decimal places.Using single-period arithmetic returns, calculate the value after two periods for the realized returns of these two portfolios: (Portfolio A) $100 invested, realizing a period with a 10% gain, followed by another period with a 10% gain ("average" 10% per period gain) (Portfolio B) $100 invested, realizing a period with a 50% gain, but followed by a period with a 25% loss ("average" 12.5% per period gain) What is the difference in dollars after these two periods (Portfolio A value minus Portfolio B value)?
- What is the expected return of a portfolio that has $8,000 invested in S and $2,000 invested in T? The risk-free rate is 6% and the market portfolio's return is 14%. Do you expect the investment to be a good one for the coming year if betas for the two portfolio components are 0.6 and 1.3, respectively?Consider a position consisting of 200,000 investment in asset A and 300,000 investment in asset B. Assume that the daily volatility of the assets are 1.5% and 1.8% respectively, and that coefficient of correlation between their returns is 0.4. What is the five day 95% VAR for the portfolio (given 95% confidence level represents 1.65 standard deviations on the left side of the normal distribution)?Consider a position consisting of a $100,000 investment in asset A and a $100,000 investment in asset B. Assume that the daily volatilities of both assets are 1% and that the coefficient of correlation between their returns is 0.3. What is the 5-day 99% VaR for the portfolio?