Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Use the following information to answer questions 23 - 24. Consider a three-factor model. You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year. Factor Factor Beta Factor Realizations Market 1.2 12% Industrial Prod 0.5 7% Oil 0.3 3% TBill rates were 4%. Question 23 The predicted return on the stock is …………………………….. %. Question 24 Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
Use the following information to answer questions 23 - 24.
Consider a three-factor model.
You are in charge of a $100 million Centurion Select Fund. You have invested all your money into one stock. Consider the following multifactor model for the stock and factor observations over the last year.
| Factor | Factor Beta | Factor Realizations |
| Market | 1.2 | 12% |
| Industrial Prod | 0.5 | 7% |
| Oil | 0.3 | 3% |
TBill rates were 4%.
Question 23
The predicted return on the stock is …………………………….. %.
Question 24
Suppose the stock actually returns 15.5%. Your alpha is ………………………………. %.
Expert Solution
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
This is a popular solution!
Trending now
This is a popular solution!
Step by step
Solved in 5 steps
Knowledge Booster
Learn more about
Need a deep-dive on the concept behind this application? Look no further. Learn more about this topic, finance and related others by exploring similar questions and additional content below.Recommended textbooks for you
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education