Homework Answers
- Sharp ratio of portfolio
|
Portfolio A: .9077 |
Portfolio B: .848 |
Sharp ratio = 
Sharp ratio of portfolio A
Sharp ratio =
Rate of return =14.80%
Risk free rate = 3%
Standard deviation of the return =13%
Sharp ratio = 
=.9077
Sharp ratio of portfolio B
Sharp ratio =
Rate of return =13.60%
Risk free rate = 3%
Standard deviation of the return =12.50%
Sharp ratio = 
=.848
- Treynor’s Ratio of Portfolio
|
Portfolio A: 8.4286 |
Portfolio B: 8.1538 |
Treynor’s Ratio = 
Treynor’s Ratio for portfolio A
Rate of return =14.80%
Risk free rate = 3%
Beta =1.4
Treynor’s Ratio = (14.80 - 3) ÷ 1.4
= 8.4286
Treynor’s Ratio for portfolio B
Rate of return =13.60%
Risk free rate = 3%
Beta =1.3
Treynor’s Ratio = (13.60 - 3) ÷ 1.3
= 8.1538
- Jenson Measure for the portfolio
|
Portfolio A: 3.4 |
Portfolio B: 2.8 |
Jenson Measure = Rate of return – ((Risk free rate + Beta (Market return – Risk free rate)
Jenson Measure for Portfolio A
Rate of return =14.80%
Risk free rate = 3%
Beta =1.4
Market Return = 9%
Jenson Measure = 14.8% - (3% + 1.4(9% - 3%)
=14.8-11.4
= 3.4
Jenson Measure for Portfolio B
Rate of return =13.60%
Risk free rate = 3%
Beta =1.3
Market Return = 9%
Jenson Measure = 13.6% - (3% + 1.3(9% -3%)
=13.6-10.8
=2.8
- Selection of the portfolio
|
Portfolio |
Sharp ratio |
Treynor’s Ratio |
Jenson Measure |
|||
|
Ratio |
Rank |
Ratio |
Rank |
Ratio |
Rank |
|
|
A |
.9077 |
1 |
8.4286 |
1 |
3.4 |
1 |
|
B |
.8480 |
2 |
8.1538 |
2 |
2.8 |
2 |
Since all measure rank portfolio A as rank 1, select portfolio A
Note: Sharp ratio, Treynor’s Ratio and Jenson Measure are higher the better.
Add Answer to:
1. The risk free rate is currently 3%, market return is 9% Rate of return Standard...
The risk free rate is currently 7.6%. Use the data in the accompanying table for the...
The risk free rate is currently 7.6%. Use the data in the accompanying table for the Flo family's portfolio and the market portfolio during the year Just ended to answer the questions that follow (C Data Item Rate of return Standard deviation of return Beta Fios' Portfolio 12.7% 13.1% 1.37 Market Portfolio 9.2% 1.00 a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios' portfolio during the year just...
Questions 10-11 refer to the following data: Portfolio Observed Return Beta Residual Vacance 0:20 0.00 0.10 0.5 0201 Th...
Questions 10-11 refer to the following data: Portfolio Observed Return Beta Residual Vacance 0:20 0.00 0.10 0.5 0201 The risk-free rate is 3% and the expected return and variance of return of the market portfolio is n = 0.15 and ox=0.16. 10. Which of the following statements is correct? (a). Portfolio I performs better according to both Treynor's and Sharpe's indices, (b). Portfolio 2 performs better according to both Treynor's and Sharpe's indices. (c). Portfolio I performs better according to...
Your portfolio has a beta equal to 1.7. It returned 11.5% last year. The market returned 9.9%; the risk-free rate is 4.9%. Calculate Treynor's measure for your portfolio and the market. Did you e...
Your portfolio has a beta equal to 1.7. It returned 11.5% last year. The market returned 9.9%; the risk-free rate is 4.9%. Calculate Treynor's measure for your portfolio and the market. Did you earn a better return than the market given the risk you took? The Treynor's measure for your portfolio is (Round to two decimal places The Treynor's measure for the market is (Round to two decimal places.) Your portfolio's performance is (1) drop-down menu.) to the market's performance....
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4%...
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4% | 12.0% | 40% | 25% |30% | 15% | 1.0 1.3 1.0 S&P 500 Compute the Treynor measure, Sharpe ratio, and Jensen's alpha for portfolio A, B, and C. Based on each measure, which portfolio shows the best performance?
2. The risk-free rate, average returns,...
1. A mutual fund house has four portfolio managers. Their performance statistics are given as bel...
1. A mutual fund house has four portfolio managers. Their performance statistics are given as below: ManagerAverage monthly return Standard Beta (compounded to annual basis) deviation 8% 1.2 2.2 0.6 1.6 1.0 10 7 3 4 SP500 The T-bill rate is 5% a What is the Treynor's performance measure for Manager B? (5 pts b) What is the Sharpe's performance measure for Manager C? (5 pts) c) What is the M2 performance measure for Manager D? (5 pts) d) For...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
Suppose that there are two independent economic factors, F1 and F2. The risk-free rate is 3%,...
Suppose that there are two independent
economic factors, F1 and F2. The risk-free rate is 3%, and all
stocks have independent firm-specific components with a standard
deviation of 52%. Portfolios A and B are both well-diversified with
the following properties: Portfolio Beta on F1 Beta on F2 Expected
Return A 1.4 1.8 30 % B 2.4 –0.18 27 % What is the expected
return-beta relationship in this economy? Calculate the risk-free
rate, rf, and the factor risk premiums, RP1 and...
all parts please 8 of 11 (2 complele HW OCCre Score: 0 of 1 pt EQu...
all parts please
8 of 11 (2 complele HW OCCre Score: 0 of 1 pt EQu P13.15 (similar to) The return on the market portfolio during the year just ended was 10.8 % Chee Chew's portfolio has a beta of 1.22 and eamed a rehum of 13.2 % during the year just ended. The risk free rate is currently 4.7 % a. Caloulate Jensen's measure (Jensen's alpha) for Chee's portolio for the year just ended b. Compare the performance of...
ii. Currently, the risk-free rate, krp, is 5 percent and the required return on the market,...
ii. Currently, the risk-free rate, krp, is 5 percent and the required return on the market, km, is 11 percent. Your portfolio has a required rate of return of 9 percent. Your sister has a portfolio with a beta that is twice the beta of your portfolio. What is the required rate of return on your sister's portfolio? a. 12.0% b. 12.5% c. 13.0% d. 17.0% e. 18.0%
The risk free rate is 4%, and the required return on the market is 12%. a)...
The risk free rate is 4%, and the required return on the market is 12%. a) What is the required return on an asset with a beta of 1.5? b) What is the reward/risk ratio given the required rate of return from (a)? c) What is the required return on a portfolio consisting of 40% of the asset above and the rest in an asset with an average amount of systematic risk? (hint: asset with an average amount of systematic...
The risk free rate is currently 7.6%. Use the data in the accompanying table for the Flo family's portfolio and the market portfolio during the year Just ended to answer the questions that follow (C Data Item Rate of return Standard deviation of return Beta Fios' Portfolio 12.7% 13.1% 1.37 Market Portfolio 9.2% 1.00 a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios' portfolio during the year just...
Questions 10-11 refer to the following data: Portfolio Observed Return Beta Residual Vacance 0:20 0.00 0.10 0.5 0201 The risk-free rate is 3% and the expected return and variance of return of the market portfolio is n = 0.15 and ox=0.16. 10. Which of the following statements is correct? (a). Portfolio I performs better according to both Treynor's and Sharpe's indices, (b). Portfolio 2 performs better according to both Treynor's and Sharpe's indices. (c). Portfolio I performs better according to...
Your portfolio has a beta equal to 1.7. It returned 11.5% last year. The market returned 9.9%; the risk-free rate is 4.9%. Calculate Treynor's measure for your portfolio and the market. Did you earn a better return than the market given the risk you took? The Treynor's measure for your portfolio is (Round to two decimal places The Treynor's measure for the market is (Round to two decimal places.) Your portfolio's performance is (1) drop-down menu.) to the market's performance....
2. The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate is 5%. Fund AvStd DevBeta | 13.6% | 13.1% 12.4% | 12.0% | 40% | 25% |30% | 15% | 1.0 1.3 1.0 S&P 500 Compute the Treynor measure, Sharpe ratio, and Jensen's alpha for portfolio A, B, and C. Based on each measure, which portfolio shows the best performance?
2. The risk-free rate, average returns,...
1. A mutual fund house has four portfolio managers. Their performance statistics are given as below: ManagerAverage monthly return Standard Beta (compounded to annual basis) deviation 8% 1.2 2.2 0.6 1.6 1.0 10 7 3 4 SP500 The T-bill rate is 5% a What is the Treynor's performance measure for Manager B? (5 pts b) What is the Sharpe's performance measure for Manager C? (5 pts) c) What is the M2 performance measure for Manager D? (5 pts) d) For...
6. (Jensen's alpha) The risk- n's alpha) The risk-free rate is 2%. You observe two fund managers (A and B) and the market portfolio. Use в со JENSEN'S ALPHA 2 Risk-free return 2% 3 Mutual fund 4 Mean return 5 Standard deviation 6 Correlation coefficient with the market (Pim) 7 Beta 8 "Normative return" (based on the SML) 9 Jensen's alpha A 7% 25% 0.36 Market portfolio 10% 18% B 20% 72% 0.5 a. Calculate the beta of each stock...
Suppose that there are two independent
economic factors, F1 and F2. The risk-free rate is 3%, and all
stocks have independent firm-specific components with a standard
deviation of 52%. Portfolios A and B are both well-diversified with
the following properties: Portfolio Beta on F1 Beta on F2 Expected
Return A 1.4 1.8 30 % B 2.4 –0.18 27 % What is the expected
return-beta relationship in this economy? Calculate the risk-free
rate, rf, and the factor risk premiums, RP1 and...
all parts please
8 of 11 (2 complele HW OCCre Score: 0 of 1 pt EQu P13.15 (similar to) The return on the market portfolio during the year just ended was 10.8 % Chee Chew's portfolio has a beta of 1.22 and eamed a rehum of 13.2 % during the year just ended. The risk free rate is currently 4.7 % a. Caloulate Jensen's measure (Jensen's alpha) for Chee's portolio for the year just ended b. Compare the performance of...
ii. Currently, the risk-free rate, krp, is 5 percent and the required return on the market, km, is 11 percent. Your portfolio has a required rate of return of 9 percent. Your sister has a portfolio with a beta that is twice the beta of your portfolio. What is the required rate of return on your sister's portfolio? a. 12.0% b. 12.5% c. 13.0% d. 17.0% e. 18.0%
Most questions answered within 3 hours.
-
Where is the error in this code sequence?
String s1 = "Hello";
String s2 = "ello";...
asked 11 months ago -
Financial data for Joel de Paris, Inc., for last year
follow:
Joel de Paris, Inc.
Balance...
asked 11 months ago -
Consider this reaction:
Al2(SO4)3 (aq)+ BaCl3
(aq) Al2Cl6 (aq)- +
3BaSO4(s) . What is the...
asked 11 months ago -
Suppose that Savneet is considering increasing her
recent random sample from 20 car rentals to 40...
asked 11 months ago -
Trucks arrive at an unloading terminal at an average rate of 120
per hour.
Trucks arrive...
asked 11 months ago -
Why are methanol and ethanol completely soluble in water while
octanol is not very little soluble....
asked 11 months ago -
A facilities manager at a university reads in a research report
that the mean amount of...
asked 11 months ago -
When the CuSO4 is rehydrated by adding water to the anhydrous
compound, is this an endothermic...
asked 11 months ago -
A ray of sunlight is passing from diamond into crown glass; the
angle of incidence is...
asked 11 months ago -
A block of mass 0.249 kg is placed on top of a light, vertical
spring of...
asked 11 months ago -
how do the kidneys compensate in the presences of acidosis
a) trigger hyperventilate
b) reserve acid...
asked 11 months ago -
Question 501 pts
The rental rate of capital to the firm increases. Which of the
following...
asked 11 months ago