A fund manages a $3.6 billion equity portfolio with a beta of 0.6. If the S&P contract multiplier is $50 and the index is currently at 2,400, how many contracts should the fund sell to make its overall position market neutral? Number of contracts
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- Required: A fund manages a $4.8 billion equity portfolio with a beta of 0.60. If the S&P contract multiplier is $50 and the index is currently at 3,000, how many contracts should the fund sell to make its overall position market neutral? Number of contractsYou have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -15.20% 25.10 13.00 7.40 -1.56 Market -30.50% 20.10 Jensen's alpha Information ratio 11.20 8.00 -3.20 Risk-Free 3% 4 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. Answer is not complete. 3.77 %You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.87. Year 2018 2019 2020 2021 2022 Fund -14.85% 25,10 12.90 7.20 -1.50 Jensen's alpha Information ratio Market -29.50% 20.00 10.90 8.00 -3.20 Risk-Free 3% Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. 5 2 5 3 %
- Consider the following information and then calculate the required rate of return for the Global Equity Fund, which includes 4 stocks in the portfolio. The market's required rate of return is 17.75%, the risk-free rate is 5.65%, and the Fund's assets are as follows:Round your answer to two decimal places. For example, if your answer is $345.6671 round as 345.67 and if your answer is .05718 or 5.7182% round as 5.72. Stock Investment Beta A $225,000 1.35 B $335,000 0.75 C $575,000 –0.45 D $1,055,000 1.98 A.21.28% B.18.26% C.18.08% D.19.96% E.18.83%Consider the following information and then calculate the required rate of return for the Global Investment Fund, which holds 4 stocks. The market's required rate of return is 13.0%, the risk-free rate is 6.00 %, and the Fund's assets are as follows: Stock A B BUD C D 10.58% 11.25% 12.37% 13.18% 13.77% Investment $ 200,000 300,000 500,000 $1,000,000 Beta 2.00 -0.60 1.20 1.00You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year Fund Market Risk-Free 2018 15.13% -25.5% 2% 2019 25.1 2020 12.5 2021 6.4 2022 -1.26 19.6 9.7 7.6 4 2 4 -2.2 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
- You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 Fund -16.4% Market -32.5% Risk-Free 3% 2019 25.1 20.3 4 2020 13.2 11.8 2 2021 2022 6.2 -1.68 8.0 -3.2 5 3 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Sharpe ratio Treynor ratio 4You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -20.6% Sharpe ratio Treynor ratio 25.1 13.9 7.6 -2.1 Market -39.5% 21.0 13.9 8.8 -5.2 Risk-Free 1% 3 2 4 2 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -14.85% 25.1 12.9 7.2 -1.5 Market -29.5% 20.0 10.9 8.0 -3.2 Risk-Free 3% 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places. Answer is complete but not entirely correct. Sharpe ratio Treynor ratio 0.1613 2.8377
- You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.89. Year 2018 Fund -21.20% Market -40.50% Risk-Free 2% 2019 25.10 21.10 4 2020 14.00 14.20 2 2021 6.20 2022 -2.16 8.80 -5.20 4 3 Calculate Jensen's alpha for the fund, as well as its information ratio. Note: Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places. Jensen's alpha Information ratio %You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .96. Year Fund 2015 -14.92% Market -28.50% Risk-Free 2% 2016 25.10 19.90 2017 12.80 10.60 2018 7.00 2019 -1.44 7.60 -2.20 4252 Calculate Jensen's alpha for the fund, as well as its information ratio. (Do not round intermediate calculations. Enter the alpha as a percent rounded to 2 decimal places. Round the ratio to 4 decimal places.) Jensen's alpha Information ratio %Suppose that today is December 31, 2021. Consider a hedge fund with the following investment strategy: buy high quality stocks and short-sell low quality ("junk") stocks. The hedge fund follows a beta- neutral strategy. The estimated betas of high and low quality stocks over the 01/2019 to 12/2021 time period are 1.01 and 1.32 respectively. If the hedge fund's gross leverage is capped at 2, then how much should the fund invest in high quality stocks? To answer this question, compute the weighted invested in high-quality stocks at the end of 12/2021. (Hint: the sign matters) The answer should be given in decimal form with three decimals. For example, write 0.105 instead of 10.5 or 10.5 % when the correct answer is 10.5 %.