IncorrectQuestion 160 / 1 ptsBest Invest seeks to allocate $10,000 between three funds A, B, andC. Best Invest's goal is to achieve an expected portfolio return of10% at the lowest possible risk level. Best Invest has ten quarters ofannualized performance data on the three funds that are shownbelow and provided in the Excel workbook for this quiz.QuarterFund AFund BFund C19.90%5.00%8.70%28.90%7.70%20.50%310.10%5.10%36.40%42.00%17.00%-13.30%53.00%5.90%11.40%67.10%11.50%-9.00%75.30%18.00%5.20%810.40%12.50%47.20%910.50%19.00%-3.40%106.80%12.50%17.60%Which of the following statements are true regarding funds A, B, andC?(Note: Round answers to two significant digits except for covariancevalues which are rounded to 5 significant digits.)The 10-quarter average performance for fund A is 7.40%.The 10-quarter standard deviation in performance for fund B is5.37%.The 10-quarter covariance in performance between funds A and C is0.00316The 10-quarter correlation in performance between funds B and C is0.45Exactly two answers are correct.Exactly three answers are correct.

The 10-quarter average performance for fund A is 7.40% We can calculate the average return for fund…

Answered: Incorrect Question 16 0 / 1 pts Best…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

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Problem 18-04 Consider the following historical performance data for two different portfolios, the Standard and Poor's 500, and the 90-day T-bill. Average Rate of Investment Vehicle Standard Deviation 20.07% 13.20 12.25 0.70 Fund 1 Fund 2 S&P 500 90-day T-bill a. Calculate the Fama overall performance measure for both funds. Round your answers to two decimal places. Overall performance (Fund 1): % Fund 1 Fund 2 Return 28.40% 13.80 14.76 7.00 Overall performance (Fund 2): b. What is the return to risk for both funds? Do not round intermediate calculations. Round your answers to two decimal places. Return to risk (Fund 1): % % % Beta R² 1.367 0.777 0.865 0.689 Return to risk (Fund 2): c. For both funds, compute the measures of (1) selectivity, (2) diversification, and (3) net selectivity. Do not round intermediate calculations. Round your answers to two decimal places. Use a minus sign to enter negative values, if any. Selectivity % % Diversification % % Net selectivity % % d. Explain…
● Following results were obtained for the period of six months ending September 2022. Birla Sundaram Sun Nifty Rf Rp 25.38 36.28 45.56 36.74 9.00 Sigma 4.0 6.86 4.31 3.69 Beta 0.23 0.52 0.63 1.00 Using inputs, rank the funds according to the predictive ability of the fund's manager.
Đ The risk free rate is 3%. Calculate and rank the following funds using Jensen's Alpha, Treynor measure, Sharpe ratio and M Fund 4 5.82% Market Index 7.60% Fund 1 Fund 2 Fund 3 Return 6.45% 8.96% 9.44% 0.88 1.02 1.38 0.80 1% Beta Std. dev. 2.74% 4.54% 3.72% 2.64% 2.80%
elook Problem 17-06 The Global Growth Fund is a load fund with a 5 percent front load fee. It started the year with a net asset value (NAV) of $17.00. During the year the fund distributed $1.05, and at the end of the year its NAV was $18.40. What was the fund's return, and what was an investor's return? Round your answers to two dedimal places. The fund's return: Return on the individual's investment: Why are they different? The answers are different because the fund reports its return based on the salact- v and the investrors calculate their return based on the -Select
Activity 3 You are given the following information on three funds. The risk free rate is 6%. Calculate the differential return measure. Interpret your findings. Fund CH- G I Actual Return 15 25 30 Market Return 20 20 20 Sigma² 16 25 36
7. Consider the following table for the cash flows of an investment account: Time mm/dd/yy 01/01/2015 04/01/2015 08/01/2015 12/31/2015 Contribution -300 +2,000 (a) Calculate the TWRR and the DWRR of the fund. (b) Comment on the results. Fund value before contribution 1,000 500 250 2,800
The Solace Fund Burrfoot Enterprises Majere Brothers Incorporated Uth Matar Limited Lance Medical Supplies Burrfoot Enterprises Majere Holdings Uth Matar Limited Lance Medical Supplies Total Fund Performance Holding Period Return 58.33% 22.61% -6.95% 5.75% =B5*C5 Required: Using the information in the tables above, please calculate the contribution each stock makes to the portfolio performance. Then calculate overall portfolio performance. (Use cells A3 to C6 from the given information to complete this question.) The Solace Fund Contribution to Portfolio Return 8.75% 6.78% -1.39% Portfolio Weight 2.01% 15% 30% 20% 35%
Problem 5-18 (Algo) Required: You manage an equity fund with an expected risk premium of 10.4% and a standard deviation of 18%. The rate on Treasury bills is 5%. Your client chooses to invest $45,000 of her portfolio in your equity fund and $55,000 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.) Expected Return Standard Deviation % %
sign Layout References Mailings Review Help el me what View RCM Acrobat Foxit Reader PDF Foxit 2. You are an advisor reviewing fund managers performance over the last year. Your records indicate that government bonds have returned 5% over the period. You have also obtained the following information: Return Standard deviation Beta Market portfolio 0.148 0.52 Fund manager W 0.148 0.36 0.18 Fund manager X 0.160 0.34 0.16 Fund manager Y 0.114 0.34 2.60 Fund manager Z 0.158 0.56 1.80 Given the information above, which fund manager's performance shows it lies on the Capital Market Line? a. Fund manager W. b. Fund manager X. c. Fund manager Y. d. Fund manager Z.
Problem 13-19 Performance Metrics (LO1, CFA5) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is 0.97. Year 2018 2019 2020 2021 2022 Fund -15.88 25.1 13.1 7.6 -1.62 Sharpe ratio Treynor ratio Market -31.58 20.2 11.5 8.0 -3.2 Risk-Free 38 5 2 5 What are the Sharpe and Treynor ratios for the fund? Note: Do not round intermediate calculations. Round your answers to 4 decimal places.
Problem 13-19 Performance Metrics (LO1, CFA7) You have been given the following return information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is.97. Year 2015 2016 2017 2018 2019 Fund -15.13% Sharpe ratio Treynor ratio 25.1 12.5 6.4 -1.26 Market -25.5% 19.6 9.7 7.6 -2.2 Risk-Free 2% What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.)
Exercise 2 A fund begins with $10 million and reports the following three-month results (with negative figures in parentheses): Month: 1 2 Net cashflows (end of month, $ million) -10 -3.0 -5 18.486 HPR (%) 2.0 8.0 (4.0) Compute the arithmetic, time-weighted, and dollar-weighted average returns.

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