Expected return over the benchmark, Risk Management

Assignment Help:

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).

 


Related Discussions:- Expected return over the benchmark

Currency hedging for exporting and importing company, I want an assignment ...

I want an assignment on a exporting and importing company and how does it do currency hedging and reduce the risk of currency fluctuation

Risk management, Risk Management Many organization and investors engag...

Risk Management Many organization and investors engage in activities designed to manage the risks they face. In the corporate world the managers' search to control business ri

Stress testing, How do you carry out stress testing in a mortgage banking i...

How do you carry out stress testing in a mortgage banking institution?

What is the straight value of the convertible bond, The current stock price...

The current stock price of IOU is $250 and has a standard deviation of 35% per year. The risk-free interest rate is 5% per year compounded continuously. Find the prices of a call a

Risk management policies, On 1 October 2010, a company issued at par $30 mi...

On 1 October 2010, a company issued at par $30 million (par value) of fixed rate 6% debenture loans to the market at par. Interest on the debenture loans is paid quarterly on the l

Risk management and financial institutions, On September 25,2008 a portfoli...

On September 25,2008 a portfolio worth $10 million consisting of investments in four stock indices: DJIA, FTSE 100, CAC 40 and NIKKEI 225. The value of the investment in each index

Audit of home retail group , Critically assess the risk-based approach to e...

Critically assess the risk-based approach to external audit with particular reference to the audit of Home Retail Group plc. Note: You must give examples of how you might col

GRACH, (i) Calculate the unweighted average daily variance for the time ser...

(i) Calculate the unweighted average daily variance for the time series. Explain any assumptions or simplifications you have made, and the working for each step.

Risk identification and assessment, This assignment asks to investigate an ...

This assignment asks to investigate an incident at work focussing on risk identification and assessment. The investigative tool that was used was downloaded from the WorkCover webs

Write Your Message!

Captcha
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