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You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Y and Z). You consider the following historical average return, standard deviation, and CAPM beta estimates for these two managers over the past five years:
Portfolio Actual Avg. Return Standard Deviation BetaManger Y 10.20% 12.00% 1.20Manger Z 8.80% 9.90% 0.80
Additionally, your estimate for the risk premium for the market portfolio is 5.00 percent and the risk-free rate is currently 4.50 percent.
Calculate each fund manager's average "alpha" over the five-year holding period. Show graphically where these alpha statistics would plot on the security market line (SML)
An investment project has annual cash inflows of $5,700, $6,800, $7,600, and $8,900, and a discount rate of 13 percent.
assume you borrow $20,000 and invest that along with your $10,000 in the market. What is your expected return and the standard deviation of your return?
Describe the characteristics of each investment.
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The 12-month, 15-month, 18-month zero rates are 4.5%, 4.6%, 4.7% with continuous compounding. What is the value of an FRA that enables the holder to earn 5.7% (with semiannual compounding) for a 3-month period starting in 1 year on a principal of $1,..
The CEO of Smartphone Apps, LLC is making a loan application. Using the data below (only), make an Income Statement. Within this Income statement, include totals for Gross Margin,
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According to portfolio theory, people should hold more than one asset in their portfolios. The idea is that if some investments do poorly, other investments in the portfolio can compensate for the poor investments.
Computation of Tax liability for a specific period Assume that the company has taken full advantage of the Tax Code's carry-back, carry-forward provisions
How does a Dutch auction work? Not more than 4 short sentences.
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