If a fund has a return of 10% and a beta of 1.5, and if the risk-free rate is 5%, and market return rate is 8%, calculate Jensen's Alpha O a. 0.5 O b. 1.4 O c. 0.65
Q: You have just been appointed as a fund manager for Gate Way Fund, of which you will be responsible…
A: Expected return of portfolio is calculated by the weighted average of return of asset return based…
Q: The offering price of an open-end fund is $11.60 per share and the fund is sold with a front-end…
A: Offering price = 11.60 Front end load = 4%
Q: Suppose that a fund that tracks the S&P 500 has mean E [Rm] = 16% and standard deviation σM = 10%,…
A: The following information has been provided in the question: Mean of S&P 500=16% Standard…
Q: The average returns, standard deviation and betas for three funds and the S&P are given below. The…
A: Here, Risk-free Return (Rf) is 3% To create a complete portfolio, the investor uses Fund A and…
Q: You can considering investing in fund with a beta of .75 and a 7% projected annual return. Assuming…
A: As per CAPM, Expected Return = Risk free rate + beta * (Market return - Risk free rate)
Q: The average return, standard deviation, and beta for Fund A is given below along with data for the…
A: Share Measure of Performance of Fund A Sharpe Measure means the Amount of return per unit of risk.…
Q: harpe’s ratio of the Fund A is 1.5, if the beta of Fund A is 1.2, and risk of the fund is 10,…
A: Solution Given Sharpe’s ratio of the Fund A 1.5 beta of Fund A 1.2 risk of the fund…
Q: Find the optimal risky portfolio if you could only use these two funds, ABC and 123, assume the two…
A: Here, ABC 123 Expected return 0.12 0.15 Standard Deviation 0.2 0.3 Correlation…
Q: Assuming risk free rate to be 2% p.a while market return is expected to be 8% return with a Standard…
A: Given: Risk free rate = 2% Market return = 8% Standard deviation = 10% Portfolio risk = 5%
Q: The offering price of an open-end fund is $19.70 per share and the fund is sold with a front-end…
A: Offering price is the price at which securities are offered to general public through underwriters.…
Q: Electric fund had expected return of 15% and standard deviation for this return is 26%. Beta and…
A: Expected return (Re) = 15% Risk free rate (Rf) = 4% Standard deviation (SD) = 26%
Q: The Manhawkin Fund has an expected return of 17% and a standard deviation return of 33%. The risk…
A: Sharpe ratio is one of the financial metric which is used to analyze the performance of various…
Q: Suppose you are the money manager of a $4.07 million investment fund. The fund consists of four…
A: “Since you have asked multiple questions, we will solve the first question for you. If you want any…
Q: Suppose you are the money manager of a $4.4 million investment fund. The fund consists of four…
A: A portfolio is a group of different securities held together with the objective of maximizing higher…
Q: The average returns, standard deviations, and betas for three funds are given below along with data…
A: Sharp ratio is employed in helping an investor to create a comparison of return on investment to its…
Q: If the offering price of an open-end fund is $12.30 per share and the fund is sold with a front-end…
A: Front – end load is 5%, therefore net asset value (NAV) is 95% (100%-5% = 95%) of the offering…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: To Find: Sharpe ratio of best feasible CAL
Q: It measures how much rate of return the fund manager/fund generates per unit of systematic risk…
A: Financial investments are the methods through which investors park or save their funds and money in…
Q: The risk free rate is 2% and the expected return on the market is 8% . Lexington fund has expected…
A: treynor ratio = (expected return - risk free rate) / beta
Q: A pension fund manager is considering three mutual funds for investment. The first one is a stock…
A: Given: To determine expected return of a portfolio with 60% stock fund and 40% of market fund.
Q: Suppose you are the money manager of a $3.84 million investment fund. The fund consists of four…
A: Here, Total investment fund = $3.84 million Market's required rate of return = 9% Risk-free rate =…
Q: A fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given: Risk free rate 8% Particulars Return Standard deviation Stock fund 20.00% 30.00%…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The tangent point from the risk-free rate to the opportunity set is drawn below:
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: In two asset portfolio, the optimum weights can be computed by using methematical formulas. In case…
Q: If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, then what is its…
A: Treynor ratio measures excess of return generated over risk free rate per unit of risk .
Q: You wish to evaluate which of the two equity funds delivered a better risk adjusted return in terms…
A: Sharpe ratios is calculated as excess return over the risk free rate divided by the standard…
Q: You have been given the following return information for a mutual fund, the market index, and the…
A: Jensen’s alpha is a tool which measures the extra return earned by the funds or securities over the…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The formula used is shown:
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given the following information : Expected return Standard deviation Stock fund (S) 17% 30%…
Q: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…
A: Vega fund had return of 12%, a beta of 1.2, in a standard deviation of 25% last year t bills…
Q: f a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return…
A: Alpha of stock is excess return earned over the return calculated by CAPM.
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Risk-free rate = 8% Expected return on stock fund = 19% Expected return on bond fund = 12%…
Q: You have been given the following return information for a mutual fund, the market index, and the…
A: Sharpe ratio is the ratio, which was developed by William F. Sharpe that are used to helps the…
Q: The Manhawkin Fund has an expected return of 16% and a standard deviation of 20%. The risk-free rate…
A: Given: Expected return = 16% = 0.16 Standard deviation = 20% = 0.20 Risk-free rate = 4% = 0.04
Q: The average return, standard deviation, and beta for Fund A is given below along with data for the…
A: Sharpe ratio means the measure of risk adjusted return of a financial portfolio. Portfolio having…
Q: Suppose you are the money manager of a $5.39 million investment fund. The fund consists of four…
A: CAPM shows the different level of return at different level of risk. It consider market risk which…
Q: The average return, standard deviation, and beta for Fund A is given below along with data for the…
A: treynor ratio formula: treynor ratio= rs-rfbetas
Q: Calculate the M2 measure of performance for Fund A.
A: The portfolio is basically a set of various financial instruments that are owned by an individual or…
Q: Suppose you are the money manager of a $4.94 million investment fund. The fund consists of four…
A: The capital asset pricing model (CAPM) refers to the model which tells us how the financial markets…
Q: he fund with the highest Sharpe measure is
A: Sharpe measure is a measure of portfolio which adjusts the risk free return. A higher rate of…
Q: )As an equity analyst, you have developed the following return forecasts Problem 3 0 and risk…
A: Financial statements are statements which states the business activities performed by the company .…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given:
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Cov (S,B) is calculated as follows:
Q: Assuming risk free rate to be 2% p.a while market return is expected to be 8% return with a Standard…
A:
Q: The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a…
A: Start Net Asset Value (NAV) = $16.60 End Net Asset Value (NAV) = $18.25 Fund distributed = $1.25…
If a fund has a return of 10% and a beta of 1.5, and if the risk-free rate is 5%, and market return rate is 8%, calculate Jensen's Alpha
O a. 0.5
O b. 1.4
O c. 0.65
O d. 0.42
Step by step
Solved in 2 steps
- If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, and market return rate is 8%, calculate Jensen's Alpha O a. 3.6 Ob. 2.4 O c. 1.6 Od. 1.4Consider the following information for four portfolios, the market, and the risk-free rate (RFR): Portfolio Return Beta SD A1 0.15 1.25 0.182 A2 0.1 0.9 0.223 A3 0.12 1.1 0.138 A4 0.08 0.8 0.125 Market 0.11 1 0.2 RFR 0.03 0 0 Refer to Exhibit 18.6. Calculate the Jensen alpha Measure for each portfolio. a. A1 = 0.014, A2 = -0.002, A3 = 0.002, A4 = -0.02 b. A1 = 0.002, A2 = -0.02, A3 = 0.002, A4 = -0.014 c. A1 = 0.02, A2 = -0.002, A3 = 0.002, A4 = -0.014 d. A1 = 0.03, A2 = -0.002, A3 = 0.02, A4 = -0.14 e. A1 = 0.02, A2 = -0.002, A3 = 0.02, A4 = -0.14If a fund has a return of 12% and a beta of 1.4, and if the risk-free rate is 2%, then what is its Treynor ratio O a. 7.14 Ob. 2.35 O c. 3.14 O d. 5.35
- If a fund has a return of 12% and a standard deviation of 15%, and if the risk-free rate is 2%, then what is its Sharpe ratio O a. 0.667 O b. 0.235 O c. 0.435 O d. 0.0.237Consider the following risk-return characteristics for funds A and B: Expected return Risk Fund A (Equity) 12% 20% Fund B (Debt) 9% 16% The correlation coefficient between the returns of fund A and fund B is 0.4. 1. Which Fund is riskier? Write 1 if your answer is Fund A, write 2 if your answer is Fund B, or write 3 if your answer is undetermined. 2.1 What is the weight of fund A in the minimum variance portfolio? 2.4 What is the risk of the minimum variance portfolio? 2.2 What is the weight of Fund B in the minimum variance portfolio? 2.3 What is the expected return of the minimum variance portfolio?Asset A has an expected return of 10%. The expected market return is 14% and the risk-free rate is 5%. What is asset A's beta? Select one: O a. 0.88 O b.0.67 O C. 0.55 O d.o.33 O e. 1.15
- You plan to invest in either a mutual fund X or mutual fund Y. The following information about the annual return (%) of each of these investments under different demand levels is available, along with the probability that each of these states of nature will OCcur: Demand Probability Fund X Fund Y High 0.4 30% 25% Medium 0.4 22% 34% low 0.2 17% 25% a) Compute expected return, standard deviation for each investment and covariance of the mutual fund X and mutual fund Y. b) Would you invest in the mutual fund X or Y? Explain. c) If you chose to invest in mutual fund X and the state of nature turns up to be the low demand, what do you think about the possibility of the opportunity loss of 8% in comparison to investing in mutual fund Y?The NXP fund has an expected return of 2.40%, with volatility 23.00%. The risk free rate is 1.40%, the market volatility is 17.50%, and the correlation between NXP returns and market returns is 0.16. What is the Treynor ratio for NXP? 0.004 0.048 0.062 0.043a. What is the market risk premium (M-FRF)? Round your answer to two decimal places. % b. What is the beta of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. c. What is the required return of Fund P? Do not round intermediate calculations. Round your answer to two decimal places. % d. Would you expect the standard deviation of Fund P to be less than 14%, equal to 14%, or greater than 14%? I. less than 14% II. greater than 14% III. equal to 14%
- Calculate the expected return for an investment with the following probability distribution. Return (%) Probability (%) -10 20 5 20 10 20 17 30 26 10Consider a single-index model economy. The index portfolio M has E(RM ) = 6%, σM = 18%.An individual asset i has an estimate of βi = 1.1 and σ2ei = 0.0225 using the single index modelRi = αi + βiRM + ei. The forecast of asset i’s return is E(ri) = 12%. rf = 4%. a) According to asset i’s return forecast, calculate αi. (b) Calculate the optimal weight of combining asset i and the index portfolio M . (c) Calculate the Sharpe ratio of the index portfolio M and the portfolio optimally combiningasset i and the index portfolio M .The risk-free rate and the expected market return are 5% and 12%, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 2 is equal to: a 19% b 29% c 12% d 10% e 15%