Business

FinanceQ&A LibraryBased on current dividend yields and expected capital gains, the expected rates ofreturn on portfolios A and B are 9.1% and 12.1%, respectively. The beta of A is .7, while thatof B is 1.7. The T-bill rate is currently 5%, while the expected rate of return of the S&P 500index is 10%. The standard deviation of portfolio A is 27% annually, while that of B is 48%,and that of the index is 37%Think about what are the appropriate performance measures to use in question a and band whya. If you currently hold a market index portfolio, what would be the alpha for PortfoliosA and B? (Negative value should be indicated by a minus sign. Do not roundintermediate calculations. Enter your answer as a percentage rounded to 1decimal place.)AlphaPortfolio APortfolio Bb-1. If instead you could invest only in bills and one of these portfolios, calculate thesharpe measure for Portfolios A and B. (Enter your answer as a decimal rounded to2 decimal places.)Sharpe MeasurePortfolio APortfolio B Consider the following information regarding the performance of a money manager in arecent month. The table presents the actual return of each sector of the manager'sportfolio in column (1), the fraction of the portfolio allocated to each sector in column (2),the benchmark or neutral sector allocations in column (3), and the returns of sectorindexes in column (4)(1)Actual(2)Actual Benchmark(3)(4)IndexReturnReturn2.8%Weight0.40Weight0.303.5% (S&P 500)(Aggregate Bondindex)EquityBonds1.70.400.502.4Cash0.201.50.201.5a-1. What was the manager's return in the month? (Do not round intermediatecalculations.Enter your answer as a percentage rounded to 2 decimal places.)Manager's returna-2. What was her over- or under-performance? (Enter a positive value for over-performance or a negative value (using a minus sign) for under-performance. Donot round intermediate calculations. Enter your answer as a percentage roundedto 2 decimal places.)Over-or underperformanceIAIL.a:L.: - ..:.--Question

Asked Nov 25, 2019

8 views

Need help on all

Step 1

a) Alpha measures the performance of the portfolio against the market index.

Alpha of Portfolio A can be calculated as follows:

Step 2

Alpha of Portfolio B can be calculated as follows:

Step 3

Answer: Alpha for Portfolio A is 0.6%. &nbs...

Tagged in

Find answers to questions asked by student like you

Show more Q&A

Q: Current Proposed Assets $10,000 $18,000 Debt $- $8,000 Equity $10,000 $10,000 ...

A: (b)Preparation of updated table with the addition of debt and increased EBIT using excel is as follo...

Q: Find the value of x that makes the equivalent annual worth in years 1 through 10 equal to $800 per y...

A: Calculation of values of x and 2x:Answer:The value of x is 4,915.75

Q: Find the monthly payment needed to amortize principal and interest for the fixed-rate mortgage. ...

A: Calculate the monthly payment as follows:

Q: KT corporation has announced plans to acquire MJ corporation. KT is trading for $45 per share and M...

A: Click to see the answer

Q: You have just been hired as a financial analyst for Barrington Industries. Unfortunately, company he...

A: Computation of ending cash balance of the firm:The ending cash balance is $250,000.Excel spread shee...

Q: How is a bond’s duration impacted by varying the coupon rate? How is a bond’s duration impacted by v...

A: 1. Bond duration and coupon rate have inverse relation that means if coupon rate increase then the p...

Q: I see that the answer is 61.5%. But I want to know is how do I solve for the answer, what is it that...

A: The formula to calculate net sales is given below:

Q: Trower Corp. has a debt−equity ratio of .80. The company is considering a new plant that will cost $...

A: Calculation of Initial Cash Flow:Excel Spreadsheet:

Q: A mining company in South Africa has discovered a new gold vein in a mountain 150 kilometers north o...

A: Calculate the net present value as follows: