Finance
Read the question and please scan or photo your working, accurate answer only.
Problem 13-14
| a. | A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Round your answer to 2 decimal places. Omit the “%” sign in your response.) |
Problem 13-19
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Order Paper Now| Consider the following 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 0.95. |
| Year | Fund | Market | Risk-Free | |||
| 2008 | -15.13 | % | -25.5 | % | 2 | % |
| 2009 | 25.1 | 19.6 | 4 | |||
| 2010 | 12.5 | 9.7 | 2 | |||
| 2011 | 6.4 | 7.6 | 4 | |||
| 2012 | -1.26 | -2.2 | 3 | |||
| What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) |
Problem 13-20
| Consider the following 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 0.89. |
| Year | Fund | Market | Risk-Free | |||
| 2008 | -17.6 | % | -34.5 | % | 2 | % |
| 2009 | 25.1 | 20.5 | 4 | |||
| 2010 | 13.4 | 12.4 | 2 | |||
| 2011 | 6.6 | 8.4 | 5 | |||
| 2012 | -1.8 | -4.2 | 3 | |||
| Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the “%” sign in your response.) <!– /* Font Definitions */ @font-face {font-family:”Cambria Math”; panose-1:2 4 5 3 5 4 6 3 2 4; mso-font-charset:0; mso-generic-font-family:roman; mso-font-pitch:variable; mso-font-signature:3 0 0 0 1 0;} @font-face {font-family:Calibri; panose-1:2 15 5 2 2 2 4 3 2 4; mso-font-charset:0; mso-generic-font-family:swiss; mso-font-pitch:variable; mso-font-signature:-536858881 -1073732485 9 0 511 0;} /* Style Definitions */ p.MsoNormal, li.MsoNormal, div.MsoNormal {mso-style-unhide:no; mso-style-qformat:yes; mso-style-parent:””; margin-top:0in; margin-right:0in; margin-bottom:10.0pt; margin-left:0in; line-height:115%; mso-pagination:widow-orphan; font-size:11.0pt; font-family:”Calibri”,sans-serif; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:Calibri; mso-fareast-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:”Times New Roman”; mso-bidi-theme-font:minor-bidi;} .MsoChpDefault {mso-style-type:export-only; mso-default-props:yes; font-family:”Calibri”,sans-serif; mso-ascii-font-family:Calibri; mso-ascii-theme-font:minor-latin; mso-fareast-font-family:Calibri; mso-fareast-theme-font:minor-latin; mso-hansi-font-family:Calibri; mso-hansi-theme-font:minor-latin; mso-bidi-font-family:”Times New Roman”; mso-bidi-theme-font:minor-bidi;} .MsoPapDefault {mso-style-type:export-only; margin-bottom:10.0pt; line-height:115%;} @page WordSection1 {size:8.5in 11.0in; margin:1.0in 1.0in 1.0in 1.0in; mso-header-margin:.5in; mso-footer-margin:.5in; mso-paper-source:0;} div.WordSection1 {page:WordSection1;} –> Read the question and please scan or photo your working, accurate answer only. Problem 13-14 a. A stock has an annual return of 11.2 percent and a standard deviation of 45 percent. What is the smallest expected gain over the next year with a probability of 1 percent? (Round your answer to 2 decimal places. Omit the “%” sign in your response.) Problem 13-19 Consider the following 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 0.95. Year Fund Market Risk-Free 2008 -15.13 % -25.5 % 2 % 2009 25.1 19.6 4 2010 12.5 9.7 2 2011 6.4 7.6 4 2012 -1.26 -2.2 3 What are the Sharpe and Treynor ratios for the fund? (Round your answer to 4 decimal places.) Problem 13-20 Consider the following 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 0.89. Year Fund Market Risk-Free 2008 -17.6 % -34.5 % 2 % 2009 25.1 20.5 4 2010 13.4 12.4 2 2011 6.6 8.4 5 2012 -1.8 -4.2 3 Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the “%” sign in your response.) Calculate Jensen’s alpha for the fund, as well as its information ratio. (Round your Jensen’s alpha answer to 2 decimal places & Information ratio answer to 4 decimal places. Omit the “%” sign in your response.) |
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