These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? What is the portfolio yield (i.e., portfolio internal rate of return)?
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These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? What is the portfolio yield (i.e., portfolio
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- What is the expected return for the following portfolio? (State your answer in percent with two decimal places.) Stock Expected returns Investment AAA 35% $500,000 BBB 29% $1,300,000 CCC 18% $1,200,000 DDD 7% $1,500,000 O.17.13% O.19.40% O.21.01% O.22.21% O.23.88%Consider a three-security portfolio below: Security Maturity (in years) Par value Price Yield to maturity 1 1 $100 $98 2.06% 2 1 $100 $95 5.0% 3 1 $100 $97 3.1% These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the weighted-average portfolio yield? A. 2.35% B. 4.34% C. 3.35% D. 5.34%Consider a three-security portfolio below: Security Maturity (in years) Par value Price Yield to maturity 1 1 $100 $98 2.06% 2 1 $100 $95 5.0% 3 1 $100 $97 3.1% These securities pay $0 coupons at the end of the first 6-month period and par value at maturity. What is the portfolio yield (i.e., portfolio internal rate of return)? A. 3.12% B. 3.42% C. 4.24% D. 5.24%
- In a bond portfolio, the following are the present values of all cash flows by annual period: Year PV Cash flows (millions) 1 14.3 2 13.2 3 15.3 4 10.5 5 18.4 What is the percentage contribution to duration of the year 3 cash flows? Enter answer in percents.Calculate the weighted average expected return of the portfolio. Stock Investment Expected ReturnA $20,000 15%B $4,000 10%C $26,000 12%Consider a portfolio comprise of three securities in the following proportion and with the indicated securities beta. Security Amount Invested Beta Expected return A 1.5million 1.0 12% B 1million 1.5 13.5% C 2million 0.8 9% Calculate the portfolio’s; Beta Expected return Determine whether this portfolio have more or less systematic risk than an average asset.
- If the T Bill rate is 1.1% and the market risk premium is 10.8%, what is the CAPM-implied expected return on a portfolio invested 50% in the risk-free asset and 50% in the market?Enter your answer as a percentage rounded to 2 decimal places.Assume that ASX 300 Index represents the risky portfolio. Calculate the annual return for the period 2011- 2020 for the risky portfolio using the data given for the ASX 300 Index. Year ASX 300 Index ASX 300 Dividend Yield (%) Return_risky portfolio 2010 4760.79 3.76 - 2011 4052.27 4.93 ??? 2012 4626.27 4.33 ??? 2013 5304.8 3.99 ??? 2014 5348.93 4.24 ??? 2015 5249.09 4.72 ??? 2016 5617.73 4.09 ??? 2017 6023.3 4.04 ??? 2018 5596.96 4.48 ??? 2019 6647.74 3.95 ??? 2020 6574.33 2.82 ??? Calculate the annual return for the period 2011-2020 for the risk-free asset using the data given for the risk-free asset Year Risk free rate (%) Return_risk-free asset 2011 5.03 2012 4.51 ??? 2013 3.11 ??? 2014 2.61 ??? 2015 2.75 ??? 2016 2.34 ??? 2017 1.78 ??? 2018 1.77 ??? 2019 2.02 ??? 2020…Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years. Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.) Period Return 2021 -51.0% 2020 43.0% 2019 61.0% 2018 -5.0% 2017 -19.0% In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data. Beta = 2.3 Risk-free rate = 1% Expected Market Return = 8%
- For the upcoming year, the risk-free rate is 2 percent, and the expected return to the market is 7 percent. You are also given the following covariance matrix for Securities J,K, andL. \table[[Covariance,Security J,Security K,Security L],[Security J,0.0012532,0.0010344,0.0019711],[Security K,0.0010344,0.0023717,0.0013558],[Security L,0.0019711,0.0013558,0.0048442]] Also assume that you form a portfolio by putting 0 percent of your funds in Security J, 40 percent of your funds in Security K, and 60 percent of your funds in Security L. Based on this information, determine the standard deviation of the resulting portfolio. ◻ 6.47% 5.27% 4.98% 5.82% 4.77%N1 Consider a portfolio consisting of stocks and treasury bills. The expected return on the stocks is 25%, and the standard deviation is 30%. The expected return on the treasury bills is 1%, and treasury bills are risk free. All of these figures are annual. The portfolio's market value is $200 million and is allocated 90% to stocks and 10% to treasury bills. Determine the 1% annual VaR and the 1% weekly VaR using the analytical method.You observe the following prices for Treasury securities (per $100 of par value):Maturity Coupon Rate Price6 months 0 $99.011 year 3.5% $100.991.5 years 3.0% $100.30The 18-month theoretical spot rate implied by these price is A: 2.3% B: 2.5% C: 2.8% D: 3.1%