The benchmark portfolio has an asset allocation of 65% stocks, 30% bond and 5% cash. The annual returns on these three asset classes are 7.70%, 4.10% and 1.30%. Over the same time period, a portfolio manager had an asset allocation of 72% stocks, 23% bonds and the balance in cash. The returns on the three asset classes in the manager's portfolio were 7.69%, 4.20% and 1.51% respectively. What was the contribution to the manager's value-added, in % (to three decimal places) from his asset allocation skills?
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The benchmark portfolio has an asset allocation of 65% stocks, 30% bond and 5% cash. The annual returns on these three asset classes are 7.70%, 4.10% and 1.30%. Over the same time period, a
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- In a particular year, Salmon Arm Mutual Fund earned a return of 16% by making the following investments in asset classes: Weight return Bonds 20% 12% stocks 80% 17% The return on a bogey portfolio was 12%, based on the following: Weight Return Bonds(aggregate bond index) 60% 10% Stocks (S&P 500 index) 40% 15% The total excess return on the managed portfolio was __________.%During a particular investment period, a wealth management company held an investment portfolio that earned an average return of 13% with standard deviation of 30% and beta of 1.5. The average risk-free rate of return during this investment period was 2%. (full process) (a) Calculate the Sharpe and Treynor measures of performance evaluation for this investment portfolio. This investment portfolio is composed of the following two asset classes: Asset Class Weight Return Equity 0.80 15% Bonds 0.20 5% During this particular investment period, the information on a benchmark portfolio is given in the following table. Asset Class Weight Return Equity (S&P500 Index) 0.50 17% Bonds (Lehman Brothers Index) 0.50 5% (b) Determine whether the investment portfolio of the wealth management company performed better than the benchmark portfolio in terms of the total…Arvin is an investment manager who invested 40% of the funds in stocks, 35% in bonds and 25% in money markets and earned 12% returns in stocks, 5% in bonds and 1% in money markets. The manager’s performance is evaluated again a benchmark performance with 50% weight in stocks, 30% in bonds and 20% in money markets. The benchmark returns for stock markets is 11%, 2% for bond markets and 1% for money markets. During this period the manager’s portfolio return had a standard deviation of 22% and the market portfolio return had a standard deviation of 18%, and the average risk-free rate was 2%. Please provide formulas and step by step solutions 1.) Did Prasad over- or under-perform relative to the benchmark and by how much (%)? 2.) What were the contributions of Prasad’s asset allocation and security selection to the manager’s relative performance? 3.) What is the value of M2 measure for Prasad’s portfolio?
- 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%.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…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…
- 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. 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 stock is $7/stock each year. The current market price of this share is $135. Calculate the capital gain yield of this investment after four yearsAs the Head of Investment for your company you are expected to compute the 10% value-at-risk for your company’s portfolio containing two categories of assets. The first category includes stocks which are traded on the Ghana Stock Exchange (GSE) with an expected return of 12% and Standard Deviation (SD) of 10% per annum. The second category contains GoG Bonds with an expected return of 15% and Standard Deviation (SD) of 3% per annum. The annual correlation between the two categories of assets is 70% or .7. The total portfolio value is US$5 million. The total investment in the Ghana stock exchange is US$3 million and US$2 invested in bonds. The Z-value for a normal distribution curve for 90% confidential level is 1.282. The formula for computing Expected Rp= Wg (Xg) + Wb(Xb) and variance is SDp2 = (Wg)(Wg)(SDg)(SDg) + (Wb)(Wb)(SDb)(SDb)+ (Wb)(Wb)(SDb)(SDb)+2(Wg)(Wb)(SDg)(SDb)(p) and to compute VaR = E(R)-Z-value(SDp) (Total Invested Amount) Compute the portfolio expected rate of rate…You are a portfolio manager at PT. Sukses Selalu Sekuritas. You manage a portfolio of 5 stocks: A, B, C, D, and E. The following table provides the stocks return for the last 5 years: Calculate the Expected Return and Standard Deviation of each stock. Without any inclusion of risk-free assets in the formation of the portfolios, what is the assets proportion of the minimum variance and maximum return portfolios? Calculate the expected return and standard deviation for both portfolios. Suppose there is a risk-free asset with a 5% return and a condition in which short sales are allowed, whilst both the borrowing and lending can be obtained at a risk- free rate. What would be the new portion of each asset, including risk-free assets for the maximum return portfolio? Calculate the portfolio’s expected return and its standard deviation.
- You have a portfolio of three assets at the beginning of the year: Asset 1 is 30% of the portfolio, Asset 2 is 40% of the portfolio, and Asset 3 is 30% of the portfolio. During the year, Asset 1 has a return of 4%, Asset 2 has a return of 12%, and Asset 3 has a return of -20%. What was the return on your portfolio for the year?The returns on a portfolio over the last five years were: -5.2 percent, 21.6 percent, 4.5 percent, 11.7 percent, and 5.9 percent. What is the standard deviation of these returns?In the first quarter of the current financial year, Larry Jonesheld an equally weighted portfolio in two assets, E Ltd and F Ltd (that is, 50% of his wealth was held in each asset). The monthly returns for each asset for these 3 months were as follows: Asset July August September E Ltd 4% -3% 2%F Ltd 6% -1% 6% (i) Calculate the arithmetic average return for the three months for the portfolio (ii) Calculate the geometric average return for the three months for the portfolio. (Show answer as a percentage correct to 2 decimal places.) Briefly explain:(i) The Australian investment framework; and (j) The steps in the investment process. Following are the expected…