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.
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.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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. |
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