The following information is available to you. All returns have been converted to $ terms. Return Std Deviation Correlation with US US 10.5% 21% 1.0 Brazil 14.8% 32% 0.4 Risk-free rate = 2.5% What is the Sharpe Ratio of a portfolio with 70% in US, and 30% in Brazil? Group of answer choices 0.3810 0.3844 0.4527 0.3510

The following information is available to you. All returns have been converted to $ terms. Return Std Deviation Correlation with US US 10.5% 21% 1.0 Brazil 14.8% 32% 0.4 Risk-free rate = 2.5% What is the Sharpe Ratio of a portfolio with 70% in US, and 30% in Brazil? Group of answer choices 0.3810 0.3844 0.4527 0.3510

EBK CONTEMPORARY FINANCIAL MANAGEMENT

14th Edition

ISBN:9781337514835

Author:MOYER

Publisher:MOYER

Chapter8: Analysis Of Risk And Return

Section: Chapter Questions

Problem 13P

See similar textbooks

Similar questions

Security A has an expected return of 7%, a standard deviation of returns of 35%, a correlation coefficient with the market of −0.3, and a beta coefficient of −1.5. Security B has an expected return of 12%, a standard deviation of returns of 10%, a correlation with the market of 0.7, and a beta coefficient of 1.0. Which security is riskier? Why?
You are given the following data: Risk-free rate is 4.1 percent, market return is 6.5 per cent, and market volatility is 12.2 per cent. The return of a portfolio is 11 per cent, its volatility is 15.2214 per cent, and its beta is 0.7. Calculate the measure called the Information ratio. A. 0.193 B. 0.414 C. 0.548 D. 4.500
Your portfolio has had a 15% rate of return with a standard deviation of 18% and a beta of 1.1. The average return for the S&P 500 has been 11%, and the average return for US Treasury bills has been 2%. Calculate the Sharpe ratio, Treynor ratio, and Jensen’s alpha for your portfolio
Suppose Johnson & Johnson and Walgreen Boots Alliance have expected returns and volatilities shown here, with a correlation of 20%. Calculate a. the expected return and b. the volatility(standard deviation) of a portfolio that consists of a long position of $12,000 in Johnson & Johnson and a short position of $2,000 in Walgreens. Expected Return Standard Deviation Johnson & Johnson 7.7% 16.5% Walgreens 9.4% 19.2%
You are given the following information concerning Cabinet Co., NewClear Co and the market. Bear Market Normal Market Bull Market Probability 0.2 0.5 0.3 Cabinet Co. -20% 18% 50% NewClear Co. -15% 20% 10% Assume that: 1. Of your R10,000 portfolio, you invest R9,000 in Cabinet Co. and R1,000 in NewClear Co. 2. NewClear and Cabinet are perfectly negatively correlated. What is the expected return and standard deviation on your portfolio?
2 local Philippine equities have the same risk (standard deviation) and return expectations: 10 % expected return and 20 % risk in terms of standard deviation. Suppose you wish to create an equally weighted portfolio (50% in each equity) to examine the effect of correlation on standard deviation/risk. Calculate the expected portfolio return and risk if the correlation is 0.0.
An analyst wants to evaluate Portfolio X consisting entirely of US common stocks, using both the Treynor and Sharpe measures of the portfolio performance. The following table provides the average annual rate of return for the portfolio X the market portfolio (as measured by the Standard & Poor's 500 index) and US Treasury billds (Tbills) during the past eight years Average Return Standard deviation Beta Portfolio X 10% 18% 0.6 S & P 500 12% 13% 1 T bills 6% n/a n/a a. Calculate both the Treynor measure and the Sharpe measure for both Portfolio X and the S&P 500. Briefly explain whether portfolio X underperformed, equalled, or outperformed the S&P 500 on a risk-adjusted basis using both the Treynor measure and the Sharpe measure. b. Based on the performance of…
A British company Afrox, has a standard deviation of 50% and a correlated of 0.65 with the market. Given that the risk free rate is 3%, the market risk premium is 13%, and its standard deviation is 23%. Calculate Afrox’s Beta and expected return. 0.5 and 9.5% 1.4130 and 17.13% 1.4130 and 21.37% 2.17 and 24.74% None of the above
Suppose there are two independent economic factors, M1 and M2. The risk-free rate is 5%, and all stocks have independent firm-specific components with a standard deviation of 40%. Portfolios A and B are both well diversified. Portfolio Beta on M1 Beta on M2 Expected Return (%) A 1.8 2.2 30 B 2.1 -0.5 8 Required: What is the expected return–beta relationship in this economy? (Do not round intermediate calculations. Round your answers to 2 decimal places.)
Consider a position consisting of a K200,000 investment in Asset A and a K300,000 investment in Asset B. Assume that the daily volatilities of the assets are 1.5% and 1.8% respectively, and that the coefficient of correlation between their returns is 0.4. What is the five day 95% Value at Risk (VaR) for the portfolio (95% confidence level represents 1.65 standard deviations on the left side of a normal distribution)?
Suppose that the index model for two Canadian stocks HD and ML is estimated with the following results: RHD =-0.03+2.10RM+eHD R-squared =0.7 RML =0.06+1.60RM+eML R-squared =0.6 σM =0.15 where M is S&P/TSX Comp Index and RX is the excess return of stock X. What is the covariance and the correlation coefficient between HD and ML? For portfolio P with investment proportion of 0.4 in HD and 0.6 in ML, calculate the systematic risk, non-systematic risk, and total risk of P.
2 local Philippine equities have the same risk (standard deviation) and return expectations: 10 % expected return and 20 % risk in terms of standard deviation. Suppose you wish to create an equally weighted portfolio (50% in each equity) to examine the effect of correlation on standard deviation/risk. Comment on the return and risk of portfolios with different correlations