Expected return over the benchmark, Risk Management

The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).

Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).


Posted Date: 3/19/2013 3:02:01 AM | Location : United States

Related Discussions:- Expected return over the benchmark, Assignment Help, Ask Question on Expected return over the benchmark, Get Answer, Expert's Help, Expected return over the benchmark Discussions

Write discussion on Expected return over the benchmark
Your posts are moderated
Related Questions
No one thought that the financial system could collapse. It was assumed that sufficient safeguards were in place. Prosperity and stability were evidence that the system worked. Inf

Evaluate the outcomes of risk management strategies The scope of strategic risk management evaluation The elements of a strategic risk management control system Issues

The marketing department of a vitamin water company wishes to determine the maximum expected payoff from introducing a new strawberry drink. What decision, in terms of choosing the

Question 1: Service quality focuses on satisfying customers' needs in the moments of truth during service encounters where the customers form perceptions of the service deliver

what are the listing procedures for a company in international stock exchange

Define the meaning of Risk  Risk can be described as the probability that expected return from security won't materialize. Every investment involves uncertainties which make f

Risk management is an important aspect of managing a project in order to ensure that the project objectives are completed successfully and with the minimum of undesirable events. T

Risk management decisions and practices should be transparent Risk management should include the identification and systematic documentation of all elements of the risk managem

Question: (i). Describe the term ‘ecosystem' (ii). What are the major ecosystems in the tropical marine environment. (iii). State and describe four main ecological/eco

#queThe management of Nelson plc wish to estimate their firm’s equity beta. Nelson has had a stock market quotation for only two months and the financial management feels that it w