James Peterson has gathered the following information of 5 exchange-traded funds (ETFS). The performance data of the ETFS are presented in the following table. ETF Price Price Dividend 12-month Annual risk Correlation with 4/30/2020 4/30/2021 paid total return (STDEV) ETF A A 100 $0 44% 32% +100% B 100 $0 3% 4% - 16% 100 $0 10% 27% +65% D 100 $3 15% 15% +76% E 100 $1 10% 17% +71% Question ANSWER 1. Figure out the ending prices Please fill in your answer in the "Price on 4/30/2021 for all 5 ETFS. 4/30/2021" column directly. (Showing work is optional.) What would be the shape of the efficient frontier when James invests 2. in ETFS A & B? 3. Select two ETFS that are least efficient. 4. Which ETF is least risky? 5. Which ETF is least correlated with ETF A? 6. Calculate James' portfolio risk Portfolio return: and return if he invests in ETFS A and D (Showing work is optional.) equally. (W, = W, = 50%) Portfolio risk: |(Showing work is optional.) 7. and return if he invests 50% in ETF A (Showing work is optional.) and 50% in a risk-free asset yielding 0.25% during the same 12-month investment period. Calculate James' portfolio risk Portfolio return: Portfolio risk: (Showing work is optional.)

James Peterson has gathered the following information of 5 exchange-traded funds (ETFS). The performance data of the ETFS are presented in the following table. ETF Price Price Dividend 12-month Annual risk Correlation with 4/30/2020 4/30/2021 paid total return (STDEV) ETF A A 100 $0 44% 32% +100% B 100 $0 3% 4% - 16% 100 $0 10% 27% +65% D 100 $3 15% 15% +76% E 100 $1 10% 17% +71% Question ANSWER 1. Figure out the ending prices Please fill in your answer in the "Price on 4/30/2021 for all 5 ETFS. 4/30/2021" column directly. (Showing work is optional.) What would be the shape of the efficient frontier when James invests 2. in ETFS A & B? 3. Select two ETFS that are least efficient. 4. Which ETF is least risky? 5. Which ETF is least correlated with ETF A? 6. Calculate James' portfolio risk Portfolio return: and return if he invests in ETFS A and D (Showing work is optional.) equally. (W, = W, = 50%) Portfolio risk: |(Showing work is optional.) 7. and return if he invests 50% in ETF A (Showing work is optional.) and 50% in a risk-free asset yielding 0.25% during the same 12-month investment period. Calculate James' portfolio risk Portfolio return: Portfolio risk: (Showing work is optional.)

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter3: Data Visualization

Section: Chapter Questions

Problem 6P: The file MutualFunds contains a data set with information for 45 mutual funds that are part of the...

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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?
The table shows the average returns and betas for the five ETFs, S&P 500, and Treasury. VONF IJT PDP FTA FNY S&P 500 TreasuryAnnualize mean 0.07148 0.11941 0.09613 0.07483 0.10233 0.09637 0.02541Beta 1.01106 1.11377 1.01507 1.02652 1.09928 1.00000 0.00000 Create a SML with the S&P 500 index's and the Treasury's average returns and betas. Determine whether the ETFs have return and beta combinations above or below the line you generated. Explain the arbitrage strategy you would form with one of the ETFs, index, or Treasury.
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…
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: %
In the table below, expected return and standard deviations are provided for bond and equity funds. If the correlation between the funds is 0.3, find the covariance between these two funds. Bond Equity Expected Return 5% 10% Standard Deviation 8% 20% Group of answer choices 0.0036 0 -0.0036 0.0048
JPMorgan Chase (JPM) manages a portfolio created by 25% of the funds in Target Corporation (TGT) and the balance of the funds in The Home Depot, Inc. (HD). They exhibit standard deviation, 15% and 10%, respectively. If the correlation coefficient is 0.75, the portfolio’s standard deviation is closest to A. 24.08%. B. 19.15%. C. 14.91%. D. 10.61%.
From the following mutual funds quotation, complete the following blanks: (negative amount should be indicated by a minus sign. Round the "NAV" and the "NAV change" to the nearest cent and the total return to the nearest hundred percent.) Inv: EuGr obj: ITL NAV: 12.32 NAV -0.02 TOTAL RETURN: YTD: +9.7 4 wks: +0.94 1 yr: + 10.95 NAV: ?? NAV change: ?? Total return, 1 year: %??
You have been given the following return information for two mutual funds (Papa and Mama), the market index, and the risk-free rate. Year Papa Fund Mama Fund Market Risk-Free 2011 –12.6 % –22.6 % –24.5 % 1 % 2012 25.4 18.5 19.5 3 2013 8.5 9.2 9.4 2 2014 15.5 8.5 7.6 4 2015 2.6 –1.2 –2.2 2 Calculate the Sharpe ratio, Treynor ratio, Jensen’s alpha, information ratio, and R-squared for both funds. (Input all amounts as positive values. Do not round intermediate calculations. Enter all answers as a decimal value rounded to 4 decimal places.) PAPA MAMA SHARPE RATIO: TREYNOR RATIO JENSEN'S ALPHA INFORMATION RATIO R-SQUARED
In 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%.
J.P. Morgan Asset Management publishes information about financial investments. Overthe past 10 years, the expected return for the S&P 500 was 5.04% with a standard deviation of 19.45% and the expected return over that same period for a core bonds fund was5.78% with a standard deviation of 2.13% (J.P. Morgan asset Management, guide to theMarkets, 1st quarter, 2012). The publication also reported that the correlation betweenthe S&P 500 and core bonds is −.32. You are considering portfolio investments that arecomposed of an S&P 500 index fund and a core bonds fund.a. Using the information provided, determine the covariance between the S&P 500 andcore bonds.b. Construct a portfolio that is 50% invested in an S&P 500 index fund and 50% in a corebonds fund. In percentage terms, what are the expected return and standard deviationfor such a portfolio?c. Construct a portfolio that is 20% invested in an S&P 500 index fund and 80% investedin a core bonds fund. In…
Consider the following information and then calculate the required rate of return for the Scientific Investment Fund, which holds 4 stocks. The market's required rate of return is 14 %, the risk-free rate is 6 %, and the Fund's assets are as follows: Stock Investment Beta A $ 200,000 1.50 B 300,000 -0.50 C 500,000 1.25 D 1,000,000 1.1
onsider 123 Fund (which is invested in 35% High risk stock and 65% normal bonds). Assume you have the following historical data of annual returns: Return S.D. Normal Stock 8% 20% Risky Bonds 10% 35% High Risk Stock 14% 40% Normal Bonds 6% 10% Assume High Risk Stocks and Normal Bonds have correlation coefficient of 0.24 Find the standard deviation of 123. Please use 5 decimal places in your response. Note: The right answer is 0.1679 Please explain step by step