Consider an equal-weighted portfolio that comprises two assets: A and B. The monthly returns for each asset for the first four months of the year are given below. Month 1 Month 2 Month 3 Month 4 Asset A return 5% -2% -3% -6% Asset B return 4% 1% ? 2% If the effective annual rate of return on the equal- weighted portfolio calculated from the geometric sum of monthly portfolio returns is 13.49%, what is the Month 3 return for asset B?
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- Using the information below to calculate the following monthly returns for the portfolio. a. Time Weighted Return b. Money Weighted Return c. Discuss the usefulness of above returns when evaluating the performance of the investment portfolio over a given time period. Assume all investments/withdrawals are made at the beginning of the month Month Return Investment January 5% 10000 February 3% March 3% April 7% May -6% 5000 June 2% July 2% August -9% September 7% -5000 October -4% November 2% December -2%A portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the 1-year 5% Value-at-Risk of the portfolio (i.e., there is a 5% probability that the portfolio will suffer a loss greater than what dollar value for the year)? a. $1.24 million b. $3.86 million c. $9.75 million d. $19.50 million e. None of the abovePortfolio Return Year-to-date, Company O had earned a -7.6 percent return. During the same time period, Company V earned 9.85 percent and Company M earned 2.88 percent. If you have a portfolio made up of 25 percent Company O, 60 percent Company V, and 15 percent Company M, what is your portfolio return?
- Assuming the below annual rates of return: Annual Rates of Return: Wamart - 12.36% Coca Cola - 25.51% Pfizer - 14% CVS - 32.99% Berkshire Hathaway - 29.66% Assume that you initially invested $1,000,000 in the portfolio and that the distribution of the annual rate of return of the portfolio is normal. What is the distribution of the return of the portfolio 20 years after its formation? Provide the graph of the distribution of the return of the portfolio.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?A portfolio consists of $15 million of asset A (for which annual expected return is 10% and annual return volatility is 25%), $15 million of asset B (for which annual expected return is 15% and annual return volatility is 30%), and $20 million of asset C (for which annual expected return is 20% and annual return volatility is 35%). The return correlation between each pairing of assets A, B and C is 0.2. Assume the annual portfolio return is normally distributed. What is the annual return volatility of the portfolio? a. 21.3% b. 24.9% c. 27.8% d. 32.5% e. None of the above
- Year-to-date, Yum Brands had earned a 4.80 percent return. During the same time period, Raytheon earned 5.13 percent and Coca-Cola earned −0.64 percent.If you have a portfolio made up of 40 percent Yum Brands, 30 percent Raytheon, and 30 percent Coca-Cola, what is your portfolio return? (Round your answer to 2 decimal places.) Portfolio return: ____.__%The benchmark portfolio has an asset allocation of 65% stocks, 30% bond and 5% cash. The annual returns on these three asset classes are 7.20%, 3.90% and 1.10%. Over the same time period, a portfolio manager had an asset allocation of 72% stocks, 22% bonds and the balance in cash. The returns on the three asset classes in the manager's portfolio were 7.48%, 4.13% and 1.56% respectively. What was the contribution to the manager's value-added, in % (to three decimal places) from his selection skills?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)?
- Your portfolio has provided you with returns of 8.6 percent, 14.2 percent, -3.7 percent, and 12.0 percent over the past four years. respectively. What is the geometric average return for this period? a). 7.78%b). 5.99%c). 7.54%Consider a portfolio consisting of $ 10 million invested in the S&P 500 and $ 7.5 million invested in U.S treasury bonds. The S&P 500 has an expected return of 14% and a standard deviation of 16%. The treasury bonds have an expected return of 9% and a standard deviation of 8%. The correlation between the S&P 500 and Bonds is 0.35. All figures are stated on an annual basis. Find the VAR for one year at a probability of 5%. Identify and use the most appropriate method given the information you have. Using the information, you obtained in part a, find VAR for one day.David established an investment portfolio of two blue chips four years ago: Gold share and Silver Bond. Gold share accounts for 65% of his investment portfolio. Required: If David’s portfolio has provided the returns of 9.5%, 11.3%, - 12.5% and 15.6% over the past four years, respectively. Calculate geometric average return of the portfolio for this period? Assume that the below data is available for David’s portfolio performance, calculate the expected return, variance and standard deviation of the portfolio. Gold Share Silver Bond Expected return 26.5% 10.5% Standard Deviation of return 6% 2% Correlation of coefficient (p) 0.55 Assume that expected return of the Gold share in David’s portfolio is 14.5%. The share’s beta coefficient is 1.5. Market risk premium is 7.5. Calculate the risk-free rate using Capital Asset Pricing Model Assume that David bought 2000 of Gold shares in his portfolio for a price of $75 each, the dividend paid for this…