Q8. Composite Portfolio Performance Measures Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta 1.2 1.2 Standard Deviation 4% 5% Risk Free Rate A 12.5% 3% C 10% 4% E 3% 0.8 6% 6% b. What is the Treynor measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?
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- 1). Big Rock has several investment portfolios with a local mutual fund company. One of thecompany’s directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% C 10% 1.2 5% 4% E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for each portfolio.a. What is the Sharpe measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? b. What is the Treynor measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? 2). When you were at lunch, you overheard a heated conversation between two employees ofBig Rock. One was arguing a case for active fund management strategies and the otherwas arguing a case for passive fund management strategies.…Q8. Composite Portfolio Performance Measures Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% 10% 1.2 5% 4% E 3% 0.8 6% 6% a. What is the Sharpe measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?Composite Portfolio Performance Measures Big Rock has several investment portfolios with a local mutual fund company. One of thecompany’s directors asked you to assess the performance of five of the portfolios.Portfolio Return Beta Standard Deviation Risk Free RateA 12.5% 1.2 4% 3%C 10% 1.2 5% 4%E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for each portfolio.a. What is the Sharpe measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? b. What is the Treynor measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E?
- Big Rock has several investment portfolios with a local mutual fund company. One of thecompany’s directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free RateA 12.5% 1.2 4% 3%C 10% 1.2 5% 4%E 3% 0.8 6% 6% Calculate the Sharpe measure and the Treynor measure for each portfolio.a. What is the Sharpe measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E? b. What is the Treynor measure of:i. Portfolio A?ii. Portfolio C?iii. Portfolio E?Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: BENCHMARK MANAGER A MANAGER B Weight Return Weight Return Weight Return Stock 0.7 -4.8% 0.7 -3.9% 0.3 -4.8% Bonds 0.2 -3.1 0.1 -2.2 0.4 -3.1 Cash 0.1 0.3 0.2 0.3 0.3 0.3Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: BENCHMARK MANAGER A MANAGERB Weight Return Weight Return Weight Return Stock 0.7 -4.8% 0.7 -3.9% 0.3 -4.8% Bonds 0.2 -3.1 0.1 -2.2 0.4 -3.1 Cash 0.1 0.3 0.2 0.3 0.3 0.3 a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager A's actual portfolio, and (3) the overall return to Manager B's actual portfolio. Briefly comment on whether these managers have under- or outperformed the benchmark fund. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Overall return Benchmark Manager A % Manager B % Manager A has -Select- v the benchmark fund. Manager B has -Select- | the benchmark fund. b. Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with your results from Part a, comment on whether…
- Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: BENCHMARK MANAGER A MANAGER B Weight Return WEIGHT RETURN WEIGHT RETURN Stock 0.7 -4.7 0.7 -3.8 0.2 -4.7 % Bonds 0.2 -4.0 0.1 -2.2 0.6 -4.0 Cash 0.1 0.3 0.2 0.3 0.2 0.3 Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager A’s actual portfolio, and (3) the overall return to Manager B’s actual portfolio. Briefly comment on whether these managers have under- or outperformed the benchmark fund. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Overall return Benchmark % Manager A % Manager B % Using attribution analysis, calculate (1) the selection effect, and (2) the allocation effect for both Manager A and Manager B. Using these numbers in conjunction with your results from Part a, comment on whether these managers have added value…6. Consider the following performance data for two portfolio managers (A and B) and a common benchmark portfolio: BENCHMARK MANAGER A MANAGER B Return Weight Weight Weight Return Return Stock 0.5 -4.0% 0.6 -5.0% 0.3 -5.0% Bonds 0.3 -3.5 0.2 -2.5 0.4 -3.5 0.1 Cash 0.3 0.3 0.3 0.3 0.3 Evaluation of Asset Management a. Calculate (1) the overall return to the benchmark portfolio, (2) the overall return to Manager A's actual portfolio, and (3) the overall return to Manager B's actual portfo- lio. Briefly comment on whether these managers have under- or outperformed the benchmark fund. b. Using attribution analysis, calculate (1) the selection effect for Manager A, and (3) the allocation effect for Manager B. Using these numbers in conjunction with your results from part (a), comment on whether these managers have added value through their selection skills, their allocation skills, or both.Review the table below listing performance metrics for selected assets. The metrics are defined in the same way as in CAPM Return risk beta riskless asset 4% 0% 0 Market Portfolio 9% 24% 1 Fund A 8% 33% 0.4 Fund B 11% 30% 1.5
- Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% C 10% 1.2 5% 4% E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for each portfolio. a. What is the Sharpe measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E? b. What is the Treynor measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?Suppose you manage an equity fund with the following securities. Use the following data to help build an active portfolio. Input Data Vogt Industries Isher Corporation Hedrock, Incorporated Alpha 0.012 0.006 0.016 Beta 0.277 1.015 1.630 Standard Deviation 0.156 0.168 0.181 Residual Standard Deviation 0.117 0.048 0.113 Information Ratio 0.1026 0.1250 0.1416 Alpha/Residual Variance 0.877 2.604 1.253 Market Data S&P 500 Treasury Bills Expected Raturn 12.00% 2.50% Standard Deviation 20.00% 0.00% Required: Using the information in the table above, please first calculate the initial weight of each stock in an active portfolio, using the Treynor Black approach. Then adjust each weight for beta. (Use cells A5 to D14 from the given information to complete this question.) Treynor-Black Model Vogt Industries Isher Corporation Hedrock, Incorporated…Two investments, X and Y, have the characteristics shown below. E(X) = $70, E(Y)3D$120, o =7,000, a = 14,000, and ory =7,500 If the weight of portfolio assets assigned to investment X is 0.3, compute the a. portfolio expected return and b. portfolio risk. a. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio expected retum is $ (Type an integer or a decimal.) b. If the weight of portfolio assets assigned to investment X is 0.3, the portfolio risk is approximately $. (Round to two decimal places as needed.)