alternatives с D B Alternatives alternatives have the following returns and standard deviations of returns. Returns: Expected Value $ 1,460 1,370 10,300 1,180 67,600 ABCDE Coefficient of Variation Standard Deviation Calculate the coefficient of variation and rank the five alternatives from the lowest risk to the highest risk by using the coefficient of wariation. (Round your answers to 3 decimal places.) Rank $ 780 1,490 9,100 1,060 21,500

alternatives с D B Alternatives alternatives have the following returns and standard deviations of returns. Returns: Expected Value $ 1,460 1,370 10,300 1,180 67,600 ABCDE Coefficient of Variation Standard Deviation Calculate the coefficient of variation and rank the five alternatives from the lowest risk to the highest risk by using the coefficient of wariation. (Round your answers to 3 decimal places.) Rank $ 780 1,490 9,100 1,060 21,500

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

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calculate the following Sharpe Ratio (SP) Treynor Measure Jensen Measure M2 measure T2 measure Information Ratio (appraisal ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000
Suppose the utility function is U = E(r) - 0.5Ao2. Draw the indifference curve corresponding to a utility level of 0.2 for an investor with a risk aversion coefficient of 3. Please note the vertical line indicates expected return, and plot standard deviation on the horizontal line.
a. Using the data in the table below alculate the following performance measures.i. Sharpe ratioii. Treynor measureiii. Jensen’s alphaiv. M-squared measurev. T-squared measure, andvi. Appraisal ratio (information ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000 b. Out of the performance measures you calculated in part a., which one would you use undereach of the following circumstances:i. You want to select one of the funds as your risky portfolio.ii. You want to select one of the funds to be mixed with the rest of your portfolio,currently composed solely of holdings in the market-index fund.iii. You want to select one of the funds to form an actively managed stock portfolio
You are given the following data about Asset A and Asset B. Asset A Asset B Expected returns 8.6% 7.9% Standard Deviation 3.8% 4.6% Assuming that an investor is to choose between Asset A or Asset B, explain which asset a rational investor will choose. c) With the use of a diagram, explain why an investor will always choose a point on the SML line.
D4) Give the following true population SIM (not estimated SIM): Ri-Rf=0.1%+1.2(Rb-Rf)+ϵi When estimating this true SIM, what will be the estimated value of alpha (the intercept), when the variance of ϵi is small? Theriskless rate is 0% and the market risk premium is 0.5%. Your answer should be in percentage points. Select one: a.0 b. near 0.1% but not exactly 0.1% c. 0.5% d. 0.1% e. near 0.5% but not exactly 0.5%
The expected value, standard deviation of returns, and coefficient o below.) \table[[Asset A],[Possible Outcomes,Probability,Returns (%)
Draw the indifference curve in the expected return–standard deviation plane corresponding to a utility level of .05 for an investor with a risk aversion coefficient of 3. (Hint: Choose several possible standard deviations, ranging from 0 to .25, and find the expected rates of return providing a utility level of .05. Then plot the expected return–standard deviation points so derived.)
Use the following information to answer the question. Based on above data, determine the expected return? Select one: a. 12.06% b. 19% c. 17.35% d. 16.72%
Assume you are risk-averse and have the following three choices. Standard Deviation Project A B C Expected Value $ 2,520 2,930 2,480 $ 1,420 1,050 1,040 a. Compute the coefficient of variation for each. Note: Round your answers to 3 decimal places. Project A B C Coefficient of Variation b. Which project will you select? O Project C O Project A O Project B
calculate the following M-squared measureT-squared measure, andAppraisal ratio (information ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000 Out of the performance measures you calculated in part a., which one would you use undereach of the following circumstances:i. You want to select one of the funds as your risky portfolio.ii. You want to select one of the funds to be mixed with the rest of your portfolio,currently composed solely of holdings in the market-index fund.iii. You want to select one of the funds to form an actively managed stock portfolio
On the basis of the utility formula below, which investment would you select if you were risk averse with A = 4? Investment Expected return E(r) Standard deviation σ 1 0.12 0.30 2 0.15 0.50 3 0.21 0.16 4 0.24 0.21
What is portfolio A's CAPM beta based on your analysis? Round off your answer to three digits after the decimal points. State your answer as a percentage point as 1.234. Compute the Treynor measure for portfolio B. Round off your answer to three digits after the decimal point. State your answer as 1.234

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