Consider the following information regarding the performance of a money manager in a recent month. The table representsthe actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sectorin column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4.EquityBondsCashActual Return2.5%1.50.7The manager's return in the month isActual Weight0.30.50.2%Benchmark WeightRequired:a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positivevalues. Round your answer to 2 decimal places.)%0.70.20.1Index Return3% (S&P 500)1.8 (Barclay's Aggregate0.8a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts aspositive values. Round your answer to 2 decimal places.)

Cost of capital:The cost of capital refers to the expense a company incurs in order to finance its…

Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Equity Bonds. Cash Actual Return 2.5% 1.5 0.7 The manager's return in the month is Actual Weight 0.3 0.5 0.2 % Required: a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) Benchmark Weight 0.7 0.2 0.1 % Index Return. 3% (S&P 500) 1.8 (Barclay's Aggregate 0.8 a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)

Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Equity Bonds. Cash Actual Return 2.5% 1.5 0.7 The manager's return in the month is Actual Weight 0.3 0.5 0.2 % Required: a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) Benchmark Weight 0.7 0.2 0.1 % Index Return. 3% (S&P 500) 1.8 (Barclay's Aggregate 0.8 a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)

Essentials of Business Analytics (MindTap Course List)

2nd Edition

ISBN:9781305627734

Author:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Publisher:Jeffrey D. Camm, James J. Cochran, Michael J. Fry, Jeffrey W. Ohlmann, David R. Anderson

Chapter15: Decision Analysis

Section: Chapter Questions

Problem 4P: Investment advisors estimated the stock market returns for four market segments: computers,...

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Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager’s portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2.5 % 0.5 0.7 3% (S&P 500) Bonds 1.4 0.2 0.2 1.9 (Barclay’s Aggregate) Cash 0.8 0.3 0.1 0.9 a. What was the manager’s return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) b. What was the contribution of security selection to relative performance? (Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.) c. What was the contribution…
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Equity Bonds Cash Actual Return 2.5% 1.5 0.7 Actual weight 0.3 0.5 0.2 Benchmark Weight 0.7 0.2 0.1 Index Return 3% (S&P 500) 1.8 (Barclay's Aggregate) 0.5 (T-Bills) a-1. What was the manager's return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) The manager's return in the month is e-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager’s portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2.5% 0.6 0.6 3% (S&P 500) Bonds 1.5 0.1 0.1 1.7 (Barclay’s Aggregate) Cash 0.5 0.3 0.3 0.5 What was the contribution of asset allocation to relative performance? (Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.)
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager’s portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2.5% 0.6 0.6 3% (S&P 500) Bonds 1.5 0.1 0.1 1.7 (Barclay’s Aggregate) Cash 0.5 0.3 0.3 0.5 Required: a-1. What was the manager’s return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) b. What was the contribution of security selection to relative performance? (Do not round…
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager’s portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2% 0.70 0.60 2.5% (S&P 500) Bonds 1 0.20 0.30 1.2 (Barclay’s Aggregate) Cash 0.5 0.10 0.10 0.5 Required: a-1. What was the manager’s return in the month? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.) a-2. What was her overperformance or underperformance? (Do not round intermediate calculations. Input all amounts as positive values. Round your answer to 2 decimal places.)
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager’s portfolio in column 1, the fraction of the portfolio allocated to each sector in column 2, the benchmark or neutral sector allocations in column 3, and the returns of sector indices in column 4. Actual Return Actual Weight Benchmark Weight Index Return Equity 2% 0.70 0.60 2.5% (S&P 500) Bonds 1 0.20 0.30 1.2 (Barclay’s Aggregate) Cash 0.5 0.10 0.10 0.5 b. What was the contribution of security selection to relative performance? (Do not round intermediate calculations. Round your answer to 2 decimal places. Negative amount should be indicated by a minus sign.) c. What was the contribution of asset allocation to relative performance? (Do not round intermediate calculations. Round your answer to 2 decimal places.)
Consider the following information regarding the performance of a money manager in a recent month. The table represents the actual return of each sector of the manager's portfolio in column 1 , the fraction of the portfolio allocated to each sector in column 2 , the benchmark or neutral sector allocations in column 3 , and the returns of sector indices in column 4. \table[[,Actual,Benchmark],[Return,Actual Weight,Weight,Index Return,],[Equity,2.2%,0.4,0.5,2.7%
O Considering the following information regarding the performance of a portfolio manager in a recent quarter, (i) identify the Alpha of the manager's portfolio compared to benchmark (ii) identify the contributions of asset allocation and security selection to relative performance. Stocks Bonds Treasury bills Manager's Manager's Benchmark Benchmark Return Weight Relarn 1% 2% 2% 1.5% 0.75% 0.5% 0.50 0.30 0.20 weight 0.30 0.30 0.40
You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 4.5 6.5 7 6.5 7.5 8 8.5 8.5 13.5 12.5 10 18.5 14.5 a. For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places. Average annual return Standard deviation of returns Semi-deviation of returns Manager X % % % Manager Y % % % b. Assuming that the average annual risk-free rate during the 10-year sample period was 3.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your answers to three decimal places. Sharpe ratio (Manager X): Sharpe ratio (Manager Y): Based on Sharpe ratio -Select- )…
You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -1.5 -6.5 2 -1.5 -3.5 3 -1.5 -1.5 4 -1.0 3.5 5 0.0 4.5 6 4.5 6.5 7 6.5 7.5 8 8.5 8.5 9 13.5 12.5 10 17.5 13.5 a. For each manager, calculate the average annual return, the standard deviation of returns, and the semi-deviation of returns. b. Assuming that the average annual risk-free rate during the 10-year sample period was 1.5 percent, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? c. Calculate the Sortino ratio for each portfolio, using the average risk-free rate as the minimum acceptable return threshold. Based on these computations, which manager appears to have performed the best? d. When would you expect the Sharpe and…
The table presents the actual return of each sector of the manager's portfolio in column (1), the fraction of the portfolio allocated to each sector in column (2), the benchmark or neutral sector allocations incolumn (3), and the returns of sector indexes in column (4).(1) (2) (3) (4)Actual Actual Benchmark IndexReturn Weight Weight ReturnEquity 15% 80% 60% 10%Bonds 10% 15% 30% 6%Cash 4% 5% 5% 1%What was the manager's return in the month? What was the benchmark's return in the month?
You are evaluating the performance of two portfolio managers, and you have gathered annual return data for the past decade: Year Manager X Return (%) Manager Y Return (%) 1 -2.5 -6.5 2 -2.5 -5.5 3 -2.5 -2.0 4 -2.0 4.0 5 0.0 5.5 6 5.5 6.5 7 7.5 7.5 8 9.5 8.5 9 13.5 12.5 10 18.5 14.5 For each manager, calculate (1) the average annual return, (2) the standard deviation of returns, and (3) the semi-deviation of returns. Do not round intermediate calculations. Round your answers to two decimal places. Average annual return Standard deviation of returns Semi-deviation of returns Manager X % % % Manager Y % % % Assuming that the average annual risk-free rate during the 10-year sample period was 1.0%, calculate the Sharpe ratio for each portfolio. Based on these computations, which manager appears to have performed the best? Do not round intermediate calculations. Round your…