Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses. % Security Investment Weight: Security Benchmark Index Fund X Fund Y 35% 0 1 7% 13 2 3 15 5 4 0 5 0 6 7 8 9 10 Fund X: Fund Y: Fund Z: % % 10% 10 10 10 10 % 10 10 10 10 10 5 7 a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. Do not round intermediate calculations. Round your answers to one decimal place. 10 5 11 11 11 0 25 30 0 0 Fund Z 11% 11 11 11 11 11 9 9 9 9

Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses. % Security Investment Weight: Security Benchmark Index Fund X Fund Y 35% 0 1 7% 13 2 3 15 5 4 0 5 0 6 7 8 9 10 Fund X: Fund Y: Fund Z: % % 10% 10 10 10 10 % 10 10 10 10 10 5 7 a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. Do not round intermediate calculations. Round your answers to one decimal place. 10 5 11 11 11 0 25 30 0 0 Fund Z 11% 11 11 11 11 11 9 9 9 9

Pfin (with Mindtap, 1 Term Printed Access Card) (mindtap Course List)

7th Edition

ISBN:9780357033609

Author:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Publisher:Randall Billingsley, Lawrence J. Gitman, Michael D. Joehnk

Chapter13: Investing In Mutual Funds, Etfs, And Real Estate

Section: Chapter Questions

Problem 5FPE

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Shown below are the investment weights for the securities held in four different portfolios: three mutual funds and the benchmark index that each of those funds uses. % Security Investment Weight: Security Benchmark Index Fund X Fund Y Fund Z 1 10% 12% 40% 11% 2 10% 13% 0% 9% 3 10% 8% 5% 9% 4 10% 15% 0% 9% 5 10% 7% 0% 11% 6 10% 10% 0% 11% 7 10% 5% 30% 9% 8 10% 14% 0% 11% 9 10% 6% 0% 11% 10 10% 10% 25% 9% a. Calculate the active share (AS) measure for Fund X, Fund Y, and Fund Z relative to the benchmark index. b. Using these active share calculations, indicate which fund is the most likely to be considered: (i) a passive index fund, (ii) a closet (or enhanced) index fund, and (iii) an actively managed concentrated stock-picking fund. Explain the reason for your classification.
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 Ratio
Use the information for the question(s) below. An exchange-traded fund (ETF) is a security that represents a portfolio of individual stocks. Consider an ETF for which each share represents a portfolio of three shares of International Business Machines (IBM), five shares of Apple (AAPL), and eight shares of Tesla (TSLA). Suppose the current market price of each individual stock is shown below: Stock Current Price IBM $145.60 Apple $180.00 Tesla $267.50 What is the price per share of the ETF in a normal market? Assume that the ETF is trading for $3,700.00. What (if any) arbitrage opportunity exists? What (if any) trades would you make?
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…
The net asset value of a mutual fund is calculated as ___ A) the number of shares outstanding B) the value of PPE C) the total market value of all securities held in the fund's portfolio D) the original cost of all securities held in the fund's portfolio divided by ____. A) the number of shares outstanding B) the value of PPE C) the total market value of all securities held in the fund's portfolio D) the original cost of all securities held in the fund's portfolio
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?
What is the beta of the portfolio held by Blue Co.? Blue Co. has portfolio fund consist of three stock s as follows stock invetsment beta monde 2,500,000 1.3 bdo 1,300,000 average pal 1,200,000 (.50)
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: %
(Using the CAPM to find expected returns) Sante Capital operates two mutual funds headquartered in Houston, Texas. The firm is evaluating the stock of four different firms for possible inclusion in its fund holdings. As part of their analysis, Sante's managers have asked their junior analyst to estimate the investor-required rate of return on each firm's shares using the CAPM and the following estimates: The rate of interest on short-term U.S. Treasury securities is currently 4 percent, and the expected return for the market portfolio is 10 percent. What should be the expected rates of return for each investment? Security Beta A 1.67 B 0.58 C 1.14 D 0.78 (Click on the icon in order to copy its contents into a spreadsheet.) Question content area bottom Part 1 a. The expected rate of return for security A, which has a beta of 1.67, is enter your response here%. (Round to two decimal places.) Part 2 b. The expected…
If all of the following mutual funds are designed to passively mimic the S&P 500 stock index, which mutual fund would be the best choice? Mutual fund C with an expense ratio .07% Mutual fund D with an expense ratio of .12% Mutual fund A with expense ratio .28% Mutual fund B with an expense ratio of .59%
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.
An exchange traded fund (ETF) is a security that represents a portfolio of individual stocks. Consider an ETF for which each share represents a portfolio of two shares of International Business Machines (IBM), three shares of Merck (MRK), and three shares of Citigroup Inc. (C). Suppose the current market price of each individual stock are shown below: Stock Current Price IBM $121.57 MRK $36.59 C $3.15 Assume that the ETF is trading for $366.00, what (if any) arbitrage opportunity exists? What (if any) trades would you make?