Jensen (1968). E proposed a very influential idea: when assessing mutual fund performance, we should compare funds only after accounting for the risks they take (rather than simply comparing returns). To see his argument, draw a SML, and put one dot above the SML (call it A) and one dot below it (call it B) while A and B have the same beta. (a) Describe the investment opportunities here.
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- Suppose that the return for a particular large-cap stock fund is normally distributed with a mean of 14.4% and standard deviation of 4.4%. a. What is the probability that the large-cap stock fund has a return of at least 20%? b. What is the probability that the large-cap stock fund has a return of 10% or less?If you desire to forecast performance of a mutual fund for next year, the best forecast will be given by the a. geometric average return b. neither geometric average return nor arithmetic average return c. arithmetic average return d. both geometric average return and arithmetic average return You buy and hold a S&P 500 index fund. You always reinvest your dividends earned on the fund. Which method provides the best measure of the actual average historical performance of the investments you have chosen? a. both geometric average return and arithmetic average return b. neither geometric average return nor arithmetic average return c. arithmetic average return d. geometric average returnPlease answer the following questions. Thank you. Refer to to the picture below for information. 1. The NAVPU of the above ATC funds are lower than that of BPI AMTC. Do you think it should affect your investment decision? 2. The equity fund of BPI AMTC (-11.96%) is underperforming YTD versus that of ATRAM (-8%). Does that mean it will continue to underperform in the future?
- A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 4%. The probability distribution of the risky funds is as follows: Expected return Standard Deviation Stock fund 22% 37% Bond Fund 14 23 The correlation between the fund returns is 0.10. What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.)[The following information applies to the questions displayed below.] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 4.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 15% 40% Bond fund (B) 9% 31% The correlation between the fund returns is 0.15. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.)A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 4%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 19 % 34 % Bond fund (B) 10 18 The correlation between the fund returns is 0.11. What is the Sharpe ratio of the best feasible CAL?
- A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term bond fund, and the third is a money market fund that provides a safe return of 6%. The characteristics of the risky funds are as follows: Expected Return Standard Deviation Stock fund (S) 24% 33% Bond fund (B) 14 22 The correlation between the fund returns is 0.14. What is the Sharpe ratio of the best feasible CAL? Note:- Do not provide handwritten solution. Maintain accuracy and quality in your answer. Take care of plagiarism. Answer completely. You will get up vote for sure.[The following information applies to the questions displayed below.] A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5%. The probability distributions of the risky funds are: Expected Return Standard Deviation Stock fund (S) 16% 40% Bond fund (B) 10% 31% The correlation between the fund returns is 0.11. Required: What is the Sharpe ratio of the best feasible CAL?The following information applies to the questions displayed below A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a sure rate of 5.5% The probability distributions of the risky funds are: Stock fund Bond fund Expected Return 17% 11 Standard Deviation 34% 25 The correlation between the fund returns is 0.15. Required: What is the Sharpe ratio of the best feasible CAL? (Do not round intermediate calculations. Round your answer to 4 decimal places.) Sharpe ratio
- A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 8%. The probability distribution of the risky funds is as follows: expected return Standard Deviation Stock fund 19% 34% Bond Fund 10 18 The correlation between the fund returns is 0.11. Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations. Enter your answers as decimals rounded to 4 places.) Protifolio invested in stock Protifolio invested in bond expected return standard deviationHow can a mutual fund manager who follows a momentum trading strategy expect to earn above - average return 1. Provided the stock price has been decreasing below the mean reversion point and other investors follow a mean reversion strategy the fund manager is likely to earn an above average return 2. If the fund manager follows a momentum strategy and buys a stock as the price is increasing while other investors follow a mean reversion strategy, then it is likely the stock price will continue to rise 3. Provided the stock price have been rising above the mean reversion point and other investors follow a mean reversion strategy, the fund manager is likely to earn an above average return 4. If the fund manager follows a momentum strategy and buys a stock as the price is increasing and other investors also follow a momentum strategy, then it is likely the stock price will continue to riseA pension fund manager is considering three mutual funds. The first is a stock fund, the second is a long-term government and corporate bond fund, and the third is a T-bill money market fund that yields a rate of 5.4%. The probability distribution of the risky funds is as follows: Expected Return Standard Deviation Stock fund (S) 15% 44% Bond fund (B) 8 38 The correlation between the fund returns is 0.15.Solve numerically for the proportions of each asset and for the expected return and standard deviation of the optimal risky portfolio. (Do not round intermediate calculations and round your final answers to 2 decimal places. Omit the "%" sign in your response.)