Portfolio A returned 9.20% p.a. over the evaluation period compared to 5.00% p.a. for the S&P 500. This equates to a difference, or outperformance of 4.20% p.a. However, according to CAPM, the annualized alpha of portfolio A is 4.74% p.a. Explain the difference between the two numbers.

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Q: Assume that the short-term risk-free rate is 3%, the market index S&P500 is expected to pay returns…

A: To calculate expected return CAPM is used. CAPM stands for capital asset pricing model.

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A: Here,

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A: Beta = 0.91Returns  = 8.4%Risk-free rate = 3.3%Return on market portfolio = 9.1%

Q: Given an expected return of 8% and a standard deviation of 9%, we can predict that there is a _____…

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Q: Assume that the short-term risk-freerate is 3%, the market index S&P500 is expected to pay returns…

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A: Tracking error is computed by following formula-Tracking error = Rp - RiWhere,Rp = return from…

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Q: Suppose that the market risk premium is 5% and the risk-free rate is 4%. Risky assets A and B are…

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Q: Based on the given annual returns, calculate the VAR for portfolios A and B to determine which is…

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Q: Calculate the expected return. Do not round intermediate calculations. Round your answer to two…

A: The answers and the explanation can be seen below:

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A:

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A: The formula to determine VAR is as follows: VAR = Z score × σ xt Where z score =inverse cumulative…

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A:

Q: Given the following information, what is (i) the expected return and (ii) the portfolio standard…

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Q: ired Year 0 1 2 3 4 5 Return Alpha Sum Tracking Error Information Ratio Note: the numbers in red are…

A: Information ratio is calculated as shown below.

Q: Please correct answer and don't use hand rating

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A: Here,HistoricalAverage Annual Return is 5.7%Standard Deviation is 18.3%

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A:

Q: Example:  Consider the following data for a particular sample period:     　 Portfolio P Market M…

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A: The Sharpe Ratio measures the risk-adjusted return of a portfolio. It's calculated as the excess…

Q: You are choosing between the following portfolios.  Which one do you choose? Select one: a. ASD b.…

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Q: Assume that the short-term risk-free rate is 6%, the market index S&P500 is expected to pay returns…

A: Excel Spreadsheet: