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- An Australian investor that pursues international diversification is considering investing in the following international mutual funds: Fund Expected return Standard deviation English Equities 13.2% 25% American Equities 10% 20% The investor wants to create a two-asset portfolio of funds with the following weights: -Portfolio A: 75 per cent English, 25 per cent American -Portfolio B: 25 per cent English, 75 per cent American -Portfolio C: 50 per cent English, 50 per cent American The correlation between the two funds is 0.64. What is the expected return and risk (standard deviation) of the three portfolios? Which one of the three portfolios is the best? On what criteria do you base your choice?The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14% 24% 1.21 S&P 500 17.4% 19.4% 1 Risk-free 5.1% Calculate the Treynor measure of performance for the S&P 500. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places.Example: 1.2345A money market mutual fund manager is looking for some profitable investment opportunities and observes the following one-year interest rates on government securities and exchange rates: rUS = 12%, rUK = 9%, S = $1.50/£, f = $1.6/£, where S is the spot exchange rate and f is the forward exchange rate. Which of the two types of government securities would constitute a better investment?
- The China Fund is a mutual fund that can be purchased on the New York Stock Exchange. The rates of total return provided by the fund for each year 2004 - 2008 were -17.75%, 18.75%, 11.25%, 12.5% and 5%. If your investment is worth $3, 626.67 at the end of 2008, what was your investment value at the beginning of 2004? For full marks your answer(s) should be rounded to the nearest centThe average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14.5% 24.6% 1.4 S&P 500 14.5% 21.3% 1 Risk-free 1% Calculate the Sharpe measure of performance for the S&P 500.The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 12.5% 25.4% 1.27 S&P 500 14% 6% 1 Risk-free 1.2% Calculate the Sharpe measure of performance for Fund A.
- The average return, standard deviation, and beta for Fund A is given below along with data for the S&P 500 Index. Fund Average Return Standard Deviation Beta A 14% 28.5% 1.7 S&P 500 17.6% 19.4% 1 Risk-free 4.8% Calculate the Treynor measure of performance for Fund A. Convert percentages to decimal places before calculating your answer. ENTER your answer using FOUR DECIMAL places. Example: 0.1234You wish to evaluate which of the two equity funds delivered a better risk adjusted return in terms of Sharpe ratio with the risk free rate currently at 1.58% UIT Fund Fund Return Standard Deviation Equity Fund A 8.60% 20.12% Equity Fund B 8.91% 18.12% Calculate the Sharpe ratios for both equity funds A and B and state which fund had superior risk-adjusted performance during this period, as measured by the Sharpe ratioYou have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.91. Year 2018 2019 2020 2021 2022 Fund -20.60% 25.10 13.90 7.60 -2.10 Market -39.50% 21.00 13.90 8.80 -5.20 Risk-Free 1% 3 2 4 2 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.
- Consider the following information and then calculate the required rate of return for the Global Investment Fund, which holds 4 stocks. The market's required rate of return is 17.50%, the risk-free rate is 3.00%, and the Fund's assets are as follows (Do not round your intermediate calculations.): please show work in excel Stock Investment Beta A $200,000 1.50 B $300,000 -0.50 C $500,000 1.25 D $1,000,000 0.75Consider the following two assets. The first is a stock fund, the second is a long-term government and corporate bond fund. The probability distribution of the funds is as follows: Expected ret std. dev. Stock fund 24% 28% Bond fund 11% 14% The correlation between the fund returns is 0.2. What is the investment proportion in the minimum variance portfolio of the bond fund? Round your answer to 4 decimal places. For example, if your answer is 3.205%, then please write down 0.0321 .Suppose you are the money manager of a $4.82 millioninvestment fund. The fund consists of four stocks with the following investments and betas:Stock Investment BetaA $ 460,000 1.50B 500,000 (0.50)C 1,260,000 1.25D 2,600,000 0.75 If the market’s required rate of return is 8% and the risk-free rate is 4%, what is the fund’srequired rate of return?8-8 BETA COEFFICIENT Given t