Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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- Assume that the expected return and standard deviation of the company stock will be 17 percent, respectively. How appropriate is the sharpe ratio for these assets? When would you use the sharpe ratio?arrow_forwardWhat is the standard deviation of the returns of a portfolio that produced returns of -14%, 30%, and -19% over the last three years? (answer in percent, but without the percent sign, e.g. "7.25" is 7.25%)arrow_forwardBhupatbhaiarrow_forward
- Your portfolio has provided you with returns of 8.6 percent, 14.2 percent, -3.7 percent, and 12.0 percent over the past four years. respectively. What is the geometric average return for this period? a). 7.78%b). 5.99%c). 7.54%arrow_forwardMansukharrow_forwardCurrent Attempt in Progress To achieve a zero standard deviation for a portfolio, calculate the weights of stock A and stock B, assuming the correlation coefficient is-1. Use the following information. (Round intermediate calculations and final answers to 2 decimal places, e.g. 31.21%.) State of the economy Probability of Expected return on Expected return on occurrence stock A in this state stock B in this state High growth 30% 41.5% 56.5% Moderate growth 25% 21.5% 26.5% Recession 45% -11.5% -21.5% Weight of stock A % Weight of stock B %arrow_forward
- A manager's portfolio generated a return of 11.3% over the past year. The portfolio's beta was 1.16 and the return standard deviation was 15.7%. The market return was 9.8%, its return standard deviation was 13.4%, and the risk-free rate was 3.7%. What are the portfolio's Sharpe ratio, Treynor ratio, and Jensen's alpha?arrow_forwardPlease include the excel formula You’ve observed the following returns on Pine Computer’s stock over the past five years: 8 percent, −12 percent, 14 percent, 21 percent, and 16 percent. Suppose the average inflation rate over this period was 3.1 percent and the average T-bill rate over the period was 3.9 percent. What was the average real return on the company’s stock? What was the average nominal risk premium on the company’s stock over this period? Input area: Year Returns 1 8% 2 -12% 3 14% 4 21% 5 16% Average inflation 3.10% Average T-bill rate 3.90% (Use cells A6 to B13 from the given information to complete this question. You must use the built-in Excel function to answer this question. Make sure to use the “sample” Excel formula.)…arrow_forwardConsider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 85 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 27% per year. Assume these values are representative of investors' expectations for future performance and that the current T-bill rate is 3%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights as shown below. Note: Round your "Expected Return" answers to 2 decimal places and "Variance" answers to 4 decimal places. WBills 0.0 0.2 0.4 0.6 0.8 1.0 WIndex 1.0 0.8 0.6 0.4 0.2 0.0 Expected Return 11.00 % % % % % % Variance 0.0729 Examplearrow_forward
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