1. Assume a particular stock has an annual standard deviation of 55 percent. Wha
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Question
1. Assume a particular stock has an annual standard deviation of 55 percent. What is the standard deviation for a 2-month period? (Round your answer to 2 decimal place. Omit the "%" sign in your response.)
Standard deviation
%
2. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
RP
P
P
X
12.5
%
38
%
1.45
Y
11.5
33
1.15
Z
9.4
23
.80
Market
11.9
28
1.00
Risk-free
6.2
0
0
What is the Sharpe ratio, Treynor ratio, and Jensen’s alpha for each portfolio? (Round your Sharpe ratio answer and Treynor ratio answer to 5 decimals and Jensen's alpha answers to 3 decimal places. Negative amounts should be indicated by a minus sign. Omit the "%" sign in your response.)
Portfolio
Sharpe ratio
Treynor ratio
Jensen's alpha
X
%
Y
%
Z
%
Market
%
3. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
RP
P
P
X
14
%
20
%
1.8
Y
13
15
1.3
Z
9.2
5
0.85
Market
11.1
10
1
Risk-free
6.6
0
0
Assume that the tracking error of Portfolio X is 10.6 percent. What is the information ratio for Portfolio X? (Round your answer to 4 decimal place.)
Information ratio
4. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
RP
P
P
X
12.5
%
34
%
1.5
Y
11.5
29
1.20
Z
7.1
19
0.8
Market
10.5
24
1
Risk-free
6.2
0
0
Assume that the correlation of returns on Portfolio Y to returns on the market is 0.68. What is the percentage of Portfolio Y’s return that is driven by the market? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)
Y’s return explained by market
%
1. Assume a particular stock has an annual standard deviation of 55 percent. What is the standard deviation for a 2-month period? (Round your answer to 2 decimal place. Omit the "%" sign in your response.)
Explanation / Answer
1- Annual standard deviation = 55%
Standard deviation for 2 months = (55/12)*2 = 9.16666
2-
3- Information Ratio for Portfolio X: = 1.320755
Information Ratio = portfolio return/ Information Ratio
14/ 10.6 = 1.320755
4- Y's return explained by market = correlation of return Y to return to market * Market rate of return
= .68 * 10.5 = 7.14
portfolio Sharpe treynore jensen (Rp -Rf)standard deviation Rp- Rf/ beta Rp-(Rf*(Beta(Rm-Rf) 6.2 x 0.165789 4.344828 1.965 y 0.160606 4.608696 8.385 z 0.13913 4 6.32 Market 0.203571 4.57 6.2Related Questions
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