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

Disaster risk management plan, The sustainability of coastal tourism destin...

The sustainability of coastal tourism destinations depends partly on their ability to adapt planning and management practices to the impacts of climate change and also to increase

Hedgeable risks, what are the characteristics of hedgeable risks

what are the characteristics of hedgeable risks

Explain the term risk assessment, Question: (a) Explain the term Risk ...

Question: (a) Explain the term Risk assessment and outline the provision of the Occupational Safety and Health Act 2005 with respect to risk assessment. (b) Risk Assessment

Show security market line, Q. Show Security market line? The CML repres...

Q. Show Security market line? The CML represent the equilibrium relation between the expected return and standard for efficient portfolio. But it does not indicate how individu

Asset registration update, what are the risk management in an asset registe...

what are the risk management in an asset register that is not updated on a timely basis

Basic risky decision problem, Here is a basic risky decision problem: ...

Here is a basic risky decision problem: Using the template below, sketch the results of a sensitivity analysis on P(Deal Succeeds) for a risk-neutral decision maker. How hi

Post loss objectives, a) Discuss the post loss objectives that would help t...

a) Discuss the post loss objectives that would help the firm recover

Enumerate about the purchasing power risk, Enumerate about the Purchasing P...

Enumerate about the Purchasing Power Risk A factor affecting all securities is purchasing power risk, also termed as inflation risk. With uncertain inflation, real (inflatio

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