Suppose we want to determine the expected return and standard deviation for a portfolio of assets A (60%) and B (40%). The expected returns of assets A and B for each of the next 5 years are given in columns 1 and 2 respectively in the table. Find the expected return and standard deviation for the portfolio. Years A B 2018 10% 6% 2019 15% 8% 2020 12% 10% 2021 9% 7% 2022 14% 9%
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Suppose we want to determine the expected return and standard deviation for a portfolio of assets A (60%) and B (40%). The expected
Years A B
2018 10% 6%
2019 15% 8%
2020 12% 10%
2021 9% 7%
2022 14% 9%
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- Assume you are considering a portfolio containing Asset 1 and Asset 2. Asset 1 will represent 37% of the dollar value of the portfolio, and asset 2 will account for the other 63%. Assume that the portfolio is rebalanced at the end of each year. The expected returns over the next 6 years, 2021–2026, for each of these assets are summarized in the following table: Data table (Click on the icon here in order to copy the contents of the data table below into a spreadsheet.) Projected Return Year Asset L Asset M 2021 −9% 33% 2022 15% 5% 2023 26% −9% 2024 4% 18% 2025 −9% 33% 2026 33% −18% . a. Calculate the expected portfolio return, rp, for each of the 6 years. b. Calculate the average expected portfolio return, rp, over the 6-year period. c. Calculate the standard deviation of expected portfolio returns, sp, over…Portfolio analysis You have been given the expected return data shown in the first table on three assets - F, G, and H- over the period 2019-2022: . Using these assets, you have isolated the three investment alternatives shown in the following table: . a. Calculate the average return over the 4-year period for each of the three altenatives. b. Calculate the standard deviation of returns over the 4-year period for each of the three alternatives. c. Use your findings in parts a and b to calculate the coefficient of variation for each of the three alternatives. d. On the basis of your findings, which of the three investment alternatives do you think performed better over this period? Why? a. The expected return over the 4-year period for alternative 1 is %. (Round to two decimal place.) The expected return over the 4-year period for alternative 2 is %. (Round to two decimal place.) The expected return over the 4-year period for alternative 3 is %. (Round to two decimal place.) b. The…1. The expected returns for the two assets are given below: Year Asset F Asset G 2013 16% 17% 2014 17 16 2015 18 15 2016 19 14 A. Calculate the expected return for Asset F along with the standard deviation. B. If 50% of money is invested in Asset F and 50% in Asset G calculate the portfolio return and standard deviation
- Alternative 1 2 WN 3 Investment 100% of asset F 50% of asset F and 50% of asset G 50% of asset F and 50% of asset H Year 2019 2020 2021 2022 Asset F 10% 11% 12% 13% Historical Return Asset G 11% 10% 9% 8% Asset H 8% 9% 10% 11%Using the information below to calculate the following monthly returns for the portfolio. a. Time Weighted Return b. Money Weighted Return c. Discuss the usefulness of above returns when evaluating the performance of the investment portfolio over a given time period. Assume all investments/withdrawals are made at the beginning of the month Month Return Investment January 5% 10000 February 3% March 3% April 7% May -6% 5000 June 2% July 2% August -9% September 7% -5000 October -4% November 2% December -2%An investor recorded the following annual returns of one of his investments. You are required to calculate and comment on; 1. Mean return. 2. Variance and standard deviation of the return. 3. Geometric return. Year 2016 2017 2018 2019 2020 Return 15% 17% 19% 10% -5%
- You are reviewing an investment with the following price history as of December 31steach year.Calculatea. The HPRfor the entire periodb. The annualHPRsc. TheEquivalent Annual Return (EAR) 2016 2017 2018 2019 2020 OMR 1.45 OMR 1.78 OMR 1.26 OMR 1.71 OMR 1.91Question 3: (20 marks) Consider the following Table: YEAR 2018. 2019 2020 2021 2022 R(BOA) 28% 24% -6% 23% 20% R(WF) 26% 25% -9% 21% 26% R(M) Probability 0.35 0.15 0.20 0.15 0.15 32% 29% - 2% 31% 35% Calculate the following: 1. The Expected Returns for BOA, WF and the Market, respectively. 2. The Variances of the Returns for BOA, WF and the Market, respectively. 3. The Standard Deviations of the Returns for BOA, WF and the Market, respectively. 4. The Coefficients of Variation for BOA, WF and the Market, respectively. s. The Covariances for BOA and WF respectively. 6. The Betas for BOA and WF respectively. 7. The Correlation Coefficients for BOA and WF respectively. 8. Assume a Risk-Free Rate is 4%. Calculate the CAPM for BOA and WF stocks respectively. 9. What is the RISK PREMIUM for BOA and WF respectively? 10. Explain your answers carefully to support your findings.Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to Excel
- Consider the case of two financial assets and three market conditions (states). The tablebelow gives the respective probability for each market condition and the return of each assetin each one of them. Market Conditions State Recession Normal Expansion Probability of state 30% 40% 30% Return of asset A -30% 20% 55% Return of asset B -10% 70% 0% Consider the portfolio with 50% investment in each of the two assets above. Calculatethe expected return and the standard deviation of the portfolio.Assume that you are given the following historical returns for the Market and Security J. Also assume that the expected risk-free rate for the coming year is 4.0 percent, while the expected market risk premium is 15.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. Year 1 2 O21.20% 3 4 5 6 O22.34% O 23.49% O24.63% O24.10% Market 10.00% 12.00% 16.00% 14.00% 12.00% 10.00% Security J 12.00% 14.00% 18.00% 22.00% 18.00% 14.00%You are going to invest $20,000 in a portfolio consisting of assets X, Y, and Z, as follows: Asset Annual Return Probability Beta Proportion X 10% 0.50 1.2 0.333 Y 8% 0.25 1.6 0.333 Z 16% 0.25 2.0 0.333 Given the information in Table 5.2, The beta of the portfolio in Table 8.2, containing assets X, Y, and Z is ________. Select one: a. 1.6 b. 2.0 c. 1.5 d. 2.4