You have a portfolio with an asset allocation of 50 percent stocks, 32 percent long-term Treasury bonds, and 18 percent T-bills. Use these weights and the returns given in the above table to compute the return of the portfolio in the year 2010 and each year since. Then compute the average annual return and standard deviation of the portfolio. (Do not round intermediate calculations. Round your answers to 2 decimal places.)

uppose the average return on Asset A is 7.1 percent and the standard deviation is 8.3 percent, and the average return and standard deviation on Asset B are 4.2 percent and 3.6 percent, respectively. Further assume that the returns are normally distributed. Use the NORMDIST function in Excel® to answer the following questions.   a. What is the probability that in any given year, the return on Asset A will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) b. What is the probability that in any given year, the return on Asset B will be greater than 12 percent? Less than 0 percent? (Do not round intermediate calculations and enter your answers as a percent rounded to 2 decimal places, e.g., 32.16.) c-1. In a particular year, the return on Asset A was −4.38 percent. How likely is it that such a low return will recur at some point in the future? (Do not round…

You own a portfolio that has $2,045 invested in Stock A and $4,096 invested in Stock B. If the expected returns on these stocks are 14 percent and 8 percent, respectively, what is the expected return (in percent) on the portfolio? Answer to two decimals.

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 12 percent and 16 percent. respectively. The standard deviations of the assets are 29 percent and 37 percent, respectively. The correlation between the two assets is 41 and the risk-free rate is 3.4 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent? (A negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and the z-score value to 3 decimal places when calculating your answer. Enter your smallest expected loss as a percent rounded to 2 decimal places.) Sharpe ratio Smallest expected loss %

Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill presented below. What is the Fama diversification measure for the Globex Fund? Assume the T-bill rate as the risk- free rate and the S&P return as the market average return. Use at least four decimal places in your calculations, but report your answer in percentage terms rounded to two decimal places. (Ex..12345 should be entered as "12.35") Investment Vehicle Globex Fund World Fund S&P500 90-day T-bill Answer: Average Rate of Return% 25.2 13.92 15.52 7.10 Standard Deviation 21.33 14 12.8 0.3 Beta 1.05 0.95 R² 0.756 0.741

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

Consider three investments. You are given thefollowing means, standard deviations, and correlations for the annual return on these three investments.The means are 0.12, 0.15, and 0.20. The standarddeviations are 0.20, 0.30, and 0.40. The correlationbetween stocks 1 and 2 is 0.65, between stocks 1 and3 is 0.75, and between stocks 2 and 3 is 0.41. Youhave $10,000 to invest and can invest no more thanhalf of your money in any single stock. Determine theminimum-variance portfolio that yields a mean annualreturn of at least 0.14

You own a portfolio that is 25% invested in Stock X, 40% in Stock Y, and 35% in Stock Z. The expected returns on these three stocks are 10%, 13%, and 15%, respectively. What is the expected return on the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) Expected return

You own a portfolio that has $1,600 invested in Stock A and $2,700 invested in Stock B. Assume the expected returns on these stocks are 11 percent and 17 percent, respectively. What is the expected return on the portfolio? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.)

USE THE FOLLOWING DATA FOR QUESTIONS 4-6: A portfolio is equally invested in Stock A, Stock B, Stock C, and Treasury Bills (25% each). The expected returns of each of these holdings is 4.8%, 11.2%, 18.6%, and 3.0%, respectively. The Betas for each of the stocks is as follows: A 0.4, B 1.8, and C 2.6. Q6: Based on your answers to questions 4 and 5, assuming an expected return of the market of 8.5%, should you invest in this portfolio from a risk/reward perspective? Multiple Choice O O Yes No