In a particular year, Salmon Arm Mutual Fund earned a return of 16% by making the following investments in asset classes:                      Weight return Bonds 20% 12% stocks 80% 17% The return on a bogey portfolio was 12%, based on the following:   Weight Return Bonds(aggregate bond index) 60% 10%

The Vanguard Windsor II mutual fund had a net asset value of $15.07 at the beginning of 1992 and $24.04 at the beginning of 1997. What was the approximate (rounded up nearest %) average annual growth rate in this measure over this period?   A)8%   B)60%   C)10%   D)18%   E)15%

Calculate the 95% confidence intervals for the four different investments included in the following table. S&P TSX Composite Index Average Return (%) Standard Deviation of Returns (%) 10.94 16.43 The 95% confidence interval of the S&P TSX Composite Index is between % and % (Round to two decimal places. Use ascending order) CLUB S&P 500 Index in CAD 8.53 16.93 Long-Term Gov't of Canada Bonds 7.83 11.48 Canadian Treasury Bills 5.98 4.35

Consider a CDO with a total notional of $500 million, consisting of three tranches: Senior (75%), Mezzanine (15%), and Equity (10%). The underlying portfolio has a total expected loss of 6%. a. Calculate the expected losses for each tranche, assuming they follow the standard tranche subordination rules. b. If the actual realized losses are 30%, determine the losses allocated to each tranche. c. Plot a graph that shows how the payoff of the holders to the Mezzanine tranche owners varies with the value of the assets in the mortgage pool at the time of maturity. d. Represent this payoff as a combination of payoffs of options and risk-free debt for Mezzanine tranche. e. Suppose the CDO manager decides to create a fourth tranche, called the Super- Senior tranche, which has the highest priority in the cash flow waterfall. If the Super-Senior tranche is sized at 50% of the total notional, recalculate the expected losses for all tranches. (hint: Super- Senior tranche is created out of Senior…

8. A portfolio consists of bonds, stocks, commodities and real estates. The portfolio weightings, expected returns, variances and correlation matrix are shown below. Bonds Stocks Commodities Real Estate Correlation Matrix Bonds Stocks Commodities Real Estate Weight 50% 10% 15% 25% Bonds 1.0 Stocks -0.2 1.0 Expected Return 8% 12% 20% 16% Commodities 0.1 0.4 1.0 Variance (%²) 10 30 15 20 Real Estate 0.3 0.6 0.2 1.0 a. Calculate the expected return and the standard deviation of the return of the portfolio.

Am. 408.

JPMorgan Chase (JPM) manages a portfolio created by 25% of the funds in Target Corporation (TGT) and the balance of the funds in The Home Depot, Inc. (HD). They exhibit standard deviation, 15% and 10%, respectively. If the correlation coefficient is 0.75, the portfolio’s standard deviation is closest to   A. 24.08%. B. 19.15%. C. 14.91%. D. 10.61%.

1. Consider a portfolio of 200 shares of Firm A worth PHP 30.00/share and 100 shares of Firm B worth PHP 40.00/share. a. Compute for the total value of the portfolio. b. Compute for the respective portfolio weights.

A stock Fund produced the following annualized results: Return = 17.5% Std Dev= 22% Beta = 1.05 Tracking Error vs. S&P 500: 3.2% (annualized) Over the same period, T-Bills returned 5%; the S&P returned 15% and had a std Dev = 25 The Fund's Information Ratio adjusted for beta is: O 0.781 O 0.625 O 0.568 O 0.60 O 1.055