Calculate the portfolio truniver ratio for each fund
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i) Calculate the portfolio truniver ratio for each fund
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- Consider the following trading and performance data for four different equity mutual funds: Fund W Fund X Fund Y Fund Z Assets Under Management, $ 289.40 $ 653.70 $ 1,298.40 $ 5,567.30 Avg. for Past 12 Months (mil) Security Sales, Past 12 Months (mil) $ 37.20 $ 569.30 $ 1,453.80 $ 437.10 Expense Ratio 0.33% 0.71% 1.13% 0.21% Pretax Return, 3-Year Avg. 9.98% 10.65% 10.12% 9.83% Tax-Adjusted Return, 3-Year Avg. 9.43% 8.87% 9.34% 9.54% a. Calculate the portfolio turnover ratio for each fund. b. Which two funds are most likely to be actively managed and which two are most likely passive funds? Explain. c. Calculate the tax cost ratio for each fund. d. Which funds were the most and least tax efficient in the operations? Why?Consider the following trading and performance data for four different equity mutual funds: Fund W Fund x Fund y Fund z Assets under Management, $284.4 $662.1 $1,286.4 $5,564.6 Avg. for Past 12 months (mil) Security Sales, $44.6 $566.1 $1,455.6 $438.8 Past 12 months (mil) Expense Ratio 0.33% 0.75% 1.19% 0.24% Pretax Return, 3-year avg. 9.85% 10.65% 10.44% 9.73% Tax-adjusted Return, 3-year avg. 8.84% 8.84% 9.10% 9.04% Calculate the portfolio turnover ratio for each fund. Do not round intermediate calculations. Round your answers to two decimal places. Fund W: % Fund X: % Fund Y: % Fund Z: %Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio. 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 Information Ratio 0.1026 0.1250 0.1416 Alpha/Residual Variance 0.877 2.604 1.253 Market Data S&P 500 Treasury Bills Expected Raturn 12.00% 2.50% Standard Deviation 20.00% 0.00% Required: Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta. (Use cells A5 to D14 from the given information to complete this question.) Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…
- 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 RatioIn a particular year, Hoosier Mutual Fund earned a return of 1% by making the following investments in asset classes: Weight Return Bonds 20 % 5 % Stocks 80 % 0 % The return on a bogey portfolio was 2%, calculated from the following information. Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % -1 % The contribution of asset allocation across markets to the Hoosier Fund's total abnormal return wasIn a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10 % 6 % Stocks 90 % 16 % The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % 15 % The contribution of selection within markets to total excess return was A. 3%. B. 5%. C. 4%. D. 1%.
- Consider an index fund that contains the following four stocks: American Campus Communities, Inc. (ACC), Global Net Lease, Inc. (GNL), Jones Lang LaSalle Incorporated (JLL), and Merck & Co., Inc. (MRK). On March 30, 2022, the stock prices at close were: ACC $56.73 GNL $15.65 JLL $243.22 MRK $82.40 The mutual fund held the following numbers of shares in these companies: Shares (million) ACC 2.087 GNL 1.558 JLL 0.748 MRK 37.950 On March 30, the mutual fund had 25 million shares outstanding. Calculate the net asset value per mutual fund share (in dollars). During the day on March 30, the fund had a net cash inflow of $250 million. How many shares of MRK did the index fund manager have to purchase in order to maintain a portfolio with the same portfolio weights as at the start of the day? You should assume that the fund manager invests all net inflows in securities at market close prices on March 30. She holds no cash balance.Calculate the NAV for a mutual fund with the following values: Market value of securities held in the portfolio = $1.2 billion Liabilities of the fund = $47 million Shares outstanding = 70 million The NAV per share is ?A mutual fund had NAV per share of $23.00 on January 1, 2016. On December 31 of the same year, the fund's NAV was $23.15. Income distributions were $0.63, and the fund had capital gain distributions of $1.26. Without considering taxes and transactions costs, what rate of return did an investor receive on the fund last year? A. 11.26% B. 8.87% C. 9.63% D. 8.26% E. 10.54%
- which of the following past returns should mutual funds publish in their annual reports? A.Excess return B.Geometric average return C.Arithmetric average return D.Index returnSuppose you manage an equity fund with the following securities. A client invests partially in your fund and partially in Treasury Bills. The Crown and Rose Fund Expected Return Percent of Portfolio Burrfoot Enterprises 9.50% 15% Majere Brothers, Incorporated 13.50% 20% Uth Matar Limited 4.50% 10% Lance Medical Supplies 16.50% 35% Starbreeze Jetliners 18.50% 20% Market Data Rate of Return Standard Deviation Treasury Bills 2.50% 0.00% S&P 500 12.00% 20.00% Investor Data Portfolio Composition Standard Deviation Treasury Bills 30.00% 0.00% The Crown and Rose Fund 70.00% 20.00% Required: Using the information in the table above, please first calculate the expected return of the fund and the expected return and standard…The following information applies to Old Blues Advisors, a hedge fund: $288 million in assets under management (AUM) as of prior year-end 2% management fee (based on year-end AUM) 20% incentive fee calculated: net of management fee using a 5% soft hurdle rate using a high-water mark (high-water mark is $357 million) Current year fund return is 25% What is the total fee earned by Old Blues Advisorsin the current year?