You manage an equity fund with an expected risk premium of 14% and a standard deviation of 54%. The rate on Treasury bills is 6.8%. Your client chooses to invest $120,000 of her portfolio in your equity fund and $30,000 in a T-bill money market fund. 1. What is the risk-aversion index of your client?
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the long-term…
A: Let the Stock Fund be Security A and Bond Fund be security BCalculation of Covariance of security…
Q: In addition to risk-free securities, you are currently invested in the Tanglewood Fund, a broadbased…
A:
Q: You manage an equity fund with an expected risk premium of 10% and an expected standard deviation of…
A: Expected Return of Equity = E(Ri) = Rf + ß * (Rm – Rf)
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Expected return and standard deviation of a portfolio is calculated using the below formula: Here,…
Q: a mutual fund manager expects her portfolio to earn a rate of return of 11 percent this year. The…
A: Financial management consists of directing, planning, organizing and controlling of financial…
Q: Suppose you are the money manager of a $5.04 million investment fund. The fund consists of four…
A: First we need to find beta of the portfolio Then expected return is equal to risk free rate plus…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is…
A: Calculation of Expected Return, Standard Deviation, Sharpe Ratio, Weight of Stock and Weight of…
Q: You are managing a fund with an expected rate of return of 15% and a standard deviation of 27%. The…
A: A mixture of different kinds of funds and securities for the investment is term as the portfolio.
Q: You are a portfolio manager of a global equity fund of funds UITF. You decided to hold a portfolio…
A: Here, Proportion invested in S&P Index (Ws) is 80% Proportion invested in Blackrock Index (Wb)…
Q: Elsie is an investor considering investing in an actively managed equity fund. The Fund has a return…
A: Sharpe ratio is defined as the financial metric or ratio, which is mostly used by an investors at…
Q: You are considering investing $1,000 in a complete portfolio. The complete portfolio is composed of…
A: An investment is refer as an asset purchased with intention to earn income at some time in future.…
Q: A mutual fund manager has a $20 million portfolio with a beta of 1.7.The risk-free rate is 4.5%, and…
A: CAPM (capital asset pricing model) equation is useful to find the required return of a…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Formulas:
Q: Your client, Jane Hislop, has an investment portfolio which is 30% invested in Fund 1 and 70%…
A: Beta of fund = Correlation of security and market * Standard deviation of fund / Security deviation…
Q: You manage an equity fund with an expected risk premium of 8% and an expected standard deviation of…
A: Expected return:- The expected return is considered as the profit or loss that is anticipated by an…
Q: Curious George, a mutual fund manager, has a P40 million portfoio with a beta of 1.00. The risk-free…
A: The beta of a portfolio is the weighted sum of the individual asset betas.
Q: You are an analyst for a large public pension fund and you have been assigned the task of evaluating…
A: Financial statements are statements which states the business activities performed by the company .…
Q: (1) Find out the minimum-variance portfolio, its expected return and standard deviation. (2)…
A: Since you have posted a question with multiple sub-parts, we will solve the first three sub-parts…
Q: Suppose you are the money manager of a $4.72 million investment fund. The fund consists of four…
A: Portfolio Fund refers to basket of stocks of different class and risk out together to maximize…
Q: Suppose you are the money manager of a $4.98 million investment fund. The fund consists of four…
A: We need to calculate required rate of return by using CAPM below Required rate of return =Risk free…
Q: Suppose you are the money manager of a $4.07 million investment fund. The fund consists of four…
A: “Since you have asked multiple questions, we will solve the first question for you. If you want any…
Q: Suppose you are the money manager of a $4.4 million investment fund. The fund consists of four…
A: A portfolio is a group of different securities held together with the objective of maximizing higher…
Q: What follows is a numeric fill in the blank question with 5 blanks. You manage an equity fund with…
A: Since you have posted a question with multiple sub-parts, we will solve the first three sub-parts…
Q: Suppose you are the money manager of a $5.16 million investment fund. The fund consists of four…
A: Frist we need to calculate portfolio beta by using this equation. Portfolio beta =weight of stock…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The Expected return is the return that will be received in future after analyze all the risk.
Q: Suppose you are the money manager of a $3.92 million investment fund. The fund consists of four…
A: Computation of portfolio beta: Hence, the portfolio beta is 0.71. Working note:
Q: Assume that you are the portfolio manager of the Forestie Fund, a $3 million hedge fund that…
A: Given, The investment is $3 million. The risk free rate is 5%. The return on market is 11%.
Q: You are considering investing in a mutual fund. The fund is expected to earn a return of 19.0…
A: Given, Expected return= 19% Standard deviation = 10.3%
Q: Suppose you are the money manager of a $3.84 million investment fund. The fund consists of four…
A: Here, Total investment fund = $3.84 million Market's required rate of return = 9% Risk-free rate =…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The tangent point from the risk-free rate to the opportunity set is drawn below:
Q: Suppose you are the money manager of a $4.92 million investment fund. The fund consists of four…
A: Calculation of portfolio beta
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Given:
Q: Suppose you are the money manager of an Rs.8 million investment fund. The fund consists of 4 stocks…
A: Stock Portfolio Beta- = XaBa+ XbBb+ XcBc+ XdBd = (800,000/ 8,000,000)(1.2)+ (1200,000/…
Q: 1. What is the required rate of return on the initial P20M investment? 2. What is the rate of…
A: Formula used is as follows: Required rate of return = Rf + Beta * (Rm - Rf)
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: The formula used is shown:
Q: You are a portfolio manager of a global equity fund of funds UITF. You decided to hold a portfolio…
A: The portfolio expected return is calculated as sum of weighted return of each investment. Weight of…
Q: Curious George, a mutual fund manager, has a P40 million portfoilio with a beta of 1.00. The…
A: Beta is a financial metric which is used to measure the volatility of a stock. Beta measures the…
Q: As an equity analyst, you have developed the following return forecasts and risk estimates for two…
A: Financial statements are statements which states the business activities performed by the company .…
Q: Suppose you are the money manager of a $5.39 million investment fund. The fund consists of four…
A: CAPM shows the different level of return at different level of risk. It consider market risk which…
Q: Suppose you are the money manager of a $5.26 million investment fund. The fund consists of four…
A: According to CAPM model rate of return = Rf+beta×Rm-Rf GIVEN, Rf=5% Rm=9% therefore we can find…
Q: Solve numerically for the proportions of each asset and for the expected return and standard…
A: Portfolio analysis is an examination of the components included in a mix of products with the…
Q: The portfolio manager of the TTY Fund, a $5 million hedge fund that contains the following stocks.…
A: The first step is to calculate the weight of each stock in the portfolio
Q: A pension fund manager is considering three assets. The first is a stock fund, the second is a…
A: Expected return of a portfolio is measured by multiplying the standard variation of each security by…
Q: Suppose you are the money manager of a $4.38 million investment fund.
A: Portfolio beta is referred to the systematic risk associated with all the stocks in the portfolio.…
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Here,
Q: Suppose you are the money manager of a $4.74 million investment fund. The fund consists of four…
A: Working note:
Q: Suppose you are the money manager of a $4.86 million investment fund. The fund consists of four…
A: Market return = 11% Risk free rate = 6%
Q: A pension fund manager is considering three mutual funds. The first is a stock fund, the second is a…
A: Cov (S,B) is calculated as follows:
You manage an equity fund with an expected risk premium of 14% and a standard deviation of 54%. The rate on Treasury bills is 6.8%. Your client chooses to invest $120,000 of her portfolio in your equity fund and $30,000 in a T-bill
1. What is the risk-aversion index of your client?
Trending now
This is a popular solution!
Step by step
Solved in 3 steps
- You manage an equity fund with an expected risk premium of 14% and a standard deviation of 54%. The rate on Treasury bills is 6.8%. Your client chooses to invest $120,000 of her portfolio in your equity fund and $30,000 in a T-bill money market fund.(1) What is the expected return and standard deviation of return on your client’s portfolio?(2) What is the reward-to-volatility ratio for the equity fund?(3) What is the risk-aversion index of your client?You manage an equity fund with an expected risk premium of 8% and an expected standard deviation of 10%. The rate on Treasury bills is 5%. Your client chooses to invest OMR70,000 of her portfolio in your equity fund and OMR30,000 in a T-bill money market fund. What is the expected return and standard deviation of return on your client's portfolio?You manage an equity fund with an expected risk premium of 11.2% and a standard deviation of 26%. The rate on Treasury bills is 4.2%. Your client chooses to invest $70,000 of her portfolio in your equity fund and $30,000 in a T-bill money market fund. What are the expected return and standard deviation of your client’s portfolio? (Round your answers to 2 decimal places.)
- What follows is a numeric fill in the blank question with 5 blanks.You manage an equity fund with an expected risk premium of 10% and an expected standard deviation of 14%. The rate on Treasury bills is 6%. Your client chooses to invest $60,000 of her portfolio in your equity fund and $40,000 in a T-bill money market fund. What is the expected return and standard deviation of return on your client’s portfolio? a. Expected return for equity fund: Blank 1. Fill in the blank, read surrounding text. %. b. Expected rate of return of the client’s portfolio: Blank 2. Fill in the blank, read surrounding text % c. Expected Return of the client's portfolio: $ Blank 3. Fill in the blank, read surrounding text. d. The standard deviation of the client's overall portfolio: Blank 4. Fill in the blank, read surrounding text. % (Round to one decimal place.) e. Calculate the Sharpe ratio for the equity fund: Blank 5. Fill in the blank, read surrounding text. (Round to TWO decimal places.)1. You manage an equity fund, Panda Eyes, with an expected risk premium of 10% anda standard deviation of 14%. The risk-free rate is 6%. Your client chooses to invest£60,000 of their portfolio in your equity fund and £40,000 in the risk-free rate. # Calculate the expected return and standard deviation of the return onyour client’s portfolio.As an equity analyst, you have developed the following return forecasts and risk estimates for two different stock mutual funds (Fund T and Fund U}: Forecasted Return CAPM Beta Fund T 9.00% 1.20 Fund U 10.00% 0.80 a. If the risk-free rate is 3.9 percent and the expected market risk premium (£(RM) -RFR} is 6.1 percent, calculate the expected return for each mutual fund according to the CAPM. b. Using the estimated expected returns from part (a) along with your own return forecasts, demonstrate whether Fund T and Fund U are currently priced to fall directly on the security market line (SML), above the SML, or below the SML. c. According to your analysis, are Funds T and U overvalued, undervalued, or properly valued?
- Assume that you manage a risky portfolio with an expected rate of return of 14% and a standard deviation of 46%. The T-bill rate is 4%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. Required: a. What are the expected return and standard deviation of your client's portfolio? (Round your answers to 1 decimal place.) Expected retum Standard deviation b. Suppose your risky portfolio includes the following investments in the given proportions: 30% 30 40 Stock A Stock B Stock C What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.) Security T-Bills Stock A Stock B Stock C Investment Proportions % per year % per year % % % % Risky portfolio Client's overall portfolio c. What is the reward-to-volatility ratio (S) of your risky portfolio and your client's overall portfolio? (Round your answers to 4 decimal places.) Reward-to-Volatility RatioAssume that you are the portfolio manager of the SF Fund, a $3 million hedge fund that contains the following stocks. The required rate of return on the market is 11.00% and the risk-free rate is 5.00%. What rate of return should investors expect (and require) on this fund? (Hint: first calculate the weights, then calculate the beta of the portfolio and then calculate the required return of the portfolio.) Show your work. Stock Amount Weights Beta A $1,075,000 ? 1.20 B 675,000 ? 0.50 C 750,000 ? 1.40 D 500,000 ? 0.75 $3,000,000Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 42%. The T-bill rate is 6%. Your client chooses to invest 85% of a portfolio in your fund and 15% in a T-bill money market fund. Required: a. What are the expected return and standard deviation of your client's portfolio (Round your answers to 1 decimal place.) Expected return Standard deviation b. Suppose your risky portfolio includes the following investments in the given proportions: 26% 35 39 Stock A Stock B Stock C What are the investment proportions of your client's overall portfolio, including the position in T-bills? (Round your answers to 1 decimal place.) Security T-Bills Stock A Stock B Stock C % per year % per year Investment Proportions % % % %
- You manage a risky portfolio with expected rate of return of 18% and standard deviation of 28%. The T-bill rate is 8%. a. Your client chooses to invest 70% of a portfolio in your fund and 30% in a T-bill money market fund. What is the expected value and standard deviation of the rate of return on his portfolio? b. What is the reward-to-volatility ratio (S) of your risky portfolio? Your client’s? c. Draw the CAL of your portfolio on an expected return–standard deviation diagram. What is the slope of the CAL? Show the position of your client on your fund’s CAL. d. Suppose that your client decides to invest in your portfolio a proportion y of the total investment budget so that the overall portfolio will have an expected rate of return of 16%. What is the proportion y? What is the standard deviation of the rate of return on your client’s portfolio? e. Suppose that your client prefers to invest in your fund a proportion y that maximizes the expected return on the complete portfolio subject…As an individual investor, you have three funds to invest into. The first is an equity fund, the second is a corporate bond fund, and the third is a T-bill money-market fund (your risk-free asset). Fund Expected rate of return Risk (Standard deviation) Equity fund 16% 32% Corporate bond fund 12% 18% T-bill money market fund 2% Correlation between equity fund and bond fund returns is 0.4. Find the Expected return of the minimum variance portfolio formed from Equity and Bond fundsYou manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%. Your client’s degree of risk aversion is A = 3.5.a. What proportion, y, of the total investment should be invested in your fund?b. What is the expected value and standard deviation of the rate of return on your client’s optimized portfolio?