You are an analyst for a large public pension fund and you

Assignment Help Programming Languages
Reference no: EM13382913

You are an analyst for a large public pension fund and you have been assigned the task of evaluating 2 different external portfolio managers (Y and Z). You consider the following historical average return, standard deviation and CAPM beta estimates for these 2 managers over the past 5 years : Portfolio Actual Average Return Standard Deviation Beta Manager Y 10.2% 12% 1.2 Manager Z 8.8% 9.9% 0.8 Additionally, your estimate for the risk premium for the market portfolio is 5.00% and the risk-free rate is currently 4.5%.

a) For both Manager Y and Manager Z, calculate the expected return using the CAPM. Express your answers to the nearest basis point (i.e. xx.xx%).

b) Calculate each fund manager's average "alpha" (?) (i.e. actual return minus expected return) over the 5-year holding period. Show graphically where these ? statistics would plot on the security market line (SML).

c) Explain whether you can conclude from the information in Part b if :

i. Either manager outperformed the other on a risk-adjusted basis 

ii. Either manager outperformed market expectations in general.

Reference no: EM13382913

Questions Cloud

One of the most fascinating features of the global economy : one of the most fascinating features of the global economy is that governments have such different ideas about what
According to morgan 2006 all theories of organization and : according to morgan 2006 all theories of organization and management are based on implicit images or metaphors that
Pastico corporation hears through the grapevine that its : pastico corporation hears through the grapevine that its employees are unhappy with the working conditions and wages
Why are there so many laws relating to hrm practices which : why are there so many laws relating to hrm practices? which are the most important laws in your opinion?what
You are an analyst for a large public pension fund and you : you are an analyst for a large public pension fund and you have been assigned the task of evaluating 2 different
Researchers wanted to explore self-esteem in adolescent : researchers wanted to explore self-esteem in adolescent boys and adolescent girls. each respondent completed a 10-item
The shift of american health insurance policiesnbsphow the : the shift of american health insurance policiesnbsphow the changes affect our economynbspi.nbsp a brief explanation of
Postel s 2001 february safeguarding our water growing more : postel s. 2001 february. safeguarding our water growing more food with less water. scientific american 2842
A rental car manager estimates the number of full-size : a rental car manager estimates the number of full-size sedans rented per week 5 so that she can maintain adequate

Reviews

Write a Review

Programming Languages Questions & Answers

  Write program for real estate agent

Write a program for a real estate agent. The program should perform the following tasks: ask users for the average house price for the each of past 5 years for a single family residence of 1500 square feet.

  Find use of dom to change the contents of an html text box

This statement will include the names of files or sections of code within a file for which he or she has been solely responsible, and the Web address of files that are visible on the group Web server space. A response such as ‘It was basically a j..

  Dishtinguish antigone and what you know of theban saga

How would you dishtinguish Antigone, and what you know of Theban saga, to Oresteia, and what you know of story of Mycenaean saga?

  User-s ability to navigate the web site correctly

This can paralyze a user's ability to navigate the Web site correctly. Examples include opening new browser windows or using meta-refresh to force a page.

  Program to read list up to hundred addresses

efine a class called address_t with members for the four integers. Your program should read a list up to 100 addresses and nicknames terminated by a sentinel address of all zeros and nickname.

  Program to compute person earns in a month

Write a program that calculates how much a person earns in a month if the salary is one penny the first day, two pennies the second day, four pennies the third day.

  Write web application that will give report of balance

Write the web application that will give a report of the balance held in a visitor's account during past several months.

  Design program which uses array of shape

Design a program which uses the array of Shape references to objects of each concrete class in hierarchy. The program must print text description of object to which each array element refers.

  Program to take input five numbers-display mean average

Write the program which takes as input five numbers and outputs mean average and standard deviation of numbers. If numbers are x1, x2 ,x3, x4, and x5, then mean is?

  Write program to test every entry of table is saddle point

Saddle point is entry in a table which is a minimum for its row and maximum for its column. Write a program which will test every entry of table to see whether it is saddle point.

  Create xml document to mark nutrition facts for cookies

Create an XML document that marks up the nutrition facts for a package of Grandma White's cookies. A package of cookies has a serving size of 1 package and the following nutritional value per serving.

  Write program to enter last names of five candidates

Write down the program which permits the user to enter last names of five candidates in local election and number of votes received by each candidate.

Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd