CONNECT WITH LEARNSMART FOR BODIE: ESSE
11th Edition
ISBN: 2819440196239
Author: Bodie
Publisher: MCG
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Textbook Question
Chapter 5, Problem 1CP
A portfolio of nondividend-paying stocks earned a geometric mean return of 5% between 1, January 1, 2010, and December 31, 2016. The arithmetic mean return for the same period was 6%. If the market value of the portfolio at the beginning of 2010 was $100, 000, what was the market value of the portfolio at the end of 2016? (LO 5-1)
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A portfolio of stocks generates a −9% return in 2016, a 23% return in 2017, and a 17% return in 2018. What is the annualized return (geometric mean) for the entire period?
Stocks A and B have the following historical returns:
Stock A's Returns
(24.25%)
18.50
38.67
14.33
39.13
Year
2015
2016
2017
2018
2019
Assume the risk-free rate during this time was 3.5%. What are the Sharpe ratios for
Stocks A and B and the portfolio over this time period using their average returns?
Answers:
a) Sharpe ratio for Stock A
b) Sharpe ratio for Stock B
0.5332
0.8839
c) Sharpe ratio for Portfolio AB
Stock B's Returns
5.50%
26.73
48.25
(4.50)
43.86
Note: enter your answers with 4 decimal places
The following are the calendar year rates of return for a S&P 500 ETF (Ticker: IVV) between
2013 and 2017.
Year
IVV
2013
29.60%
2014
11.39%
2015
-0.73%
2016
9.54%
2017
19.42%
What is the geometric mean rate of return? Round to the nearest 0.01, in percentage terms.
Chapter 5 Solutions
CONNECT WITH LEARNSMART FOR BODIE: ESSE
Ch. 5 - Prob. 1PSCh. 5 - The real interest rate approximately equals the...Ch. 5 - When estimating a Sharpe ratio, would it make...Ch. 5 - You’ve just decided upon your capital allocation...Ch. 5 - Prob. 5PSCh. 5 - The stock of Business Adventures sells for $40 a...Ch. 5 - Prob. 7PSCh. 5 - a. Suppose you forecast that the standard...Ch. 5 - Using the historical risk premiums as your guide,...Ch. 5 - What has been the historical average real rate of...
Ch. 5 - Consider a risky portfolio. The end-of-year cash...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - For Problems 12-16, assume that you manage a risky...Ch. 5 - Prob. 17PSCh. 5 - You manage an equity fund with an expected risk...Ch. 5 - What is the reward-to--volatility (Sharpe) ratio...Ch. 5 - A portfolio of nondividend-paying stocks earned a...Ch. 5 - Which of the following statements about the...Ch. 5 - Which of the following statements reflects the...Ch. 5 - Use the following data in answering CFA Questions...Ch. 5 - Prob. 5CPCh. 5 - Lise the following data in answerifng CFA Question...Ch. 5 - Use the following scenario analysis for stocks X...Ch. 5 - Prob. 8CPCh. 5 - Use the following scenario analysis for stocks X...Ch. 5 - 10. Probabilities for three states of the economy...Ch. 5 - 11. An analyst estimates that a stock has the...Ch. 5 - Prob. 1WMCh. 5 - Prob. 2WMCh. 5 - Prob. 3WM
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