News of an effective vaccine to COVID-19 resulted in a 3% increase in the S&P 500 index. This is an example of: O Unsystematic risk O Diversifiable risk O Independent risk O Systematic risk
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![News of an effective vaccine to COVID-19 resulted in a 3% increase in the
S&P 500 index. This is an example of:
O Unsystematic risk
O Diversifiable risk
O Independent risk
O Systematic risk](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F3f8a7250-9137-47ef-be98-4b87422d4696%2Ffa02deed-0210-466a-9db0-1c7d606936a9%2Fhg9mnmj_processed.jpeg&w=3840&q=75)
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- Suppose that Mr Plutus has been asked to choose between various pairs of strategies and he responds as follows: Choose between: Response B and D В A and D C and D D B and E indifferent A and C A D and E Е. Assuming that Mr Plutus' preferences satisfy the four von Neumann-Morgenstern axioms, how does Mr Plutus rank the five instruments A,B,C,D and E? Select one: E = B > D > C > A а. || O b. E = B > A > D > C Ос. B = E > D > C > A O d. E = B > D > A > C %3DYou are analyzing risk and return and CAPM using the historical data provided below (the same as the downloadable file DataQ16.xlsx ). YYYYMM Return(Stk) Return(Mkt) Return(T-bill) 201601 -4.98% -10.18% 0.05% 201602 -2.07% -2.90% 0.06% 201603 11.63% 8.71% 0.06% 201604 0.32% 1.40% 0.07% 201605 9.39% -1.20% 0.09% 201606 1.62% -0.10% 0.09% 201607 5.91% 5.28% 0.09% 201608 8.20% 4.96% 0.08% 201609 5.55% 1.39% 0.09% 201610 -3.38% -1.56% 0.11% 201611 -5.88% -0.63% 0.11% 201612 -2.07% -3.46% 0.12% 201701 7.75% 6.18% 0.14% 201702 1.27% 1.63% 0.14% 201703 7.63% 1.56% 0.09% 201704 9.25% 2.09% 0.09% 201705 10.20% 4.25% 0.08% 201706 4.33% 0.41% 0.09% 201707 12.25% 6.05% 0.11% 201708 4.98% 2.37% 0.11% 201709 2.19% -1.49% 0.09% 201710 4.05% 2.51% 0.09% 201711 13.78%…You are analyzing risk and return and CAPM using the historical data provided below (the same as the downloadable file DataQ16.xlsx ). YYYYMM Return(Stk) Return(Mkt) Return(T-bill) 201601 -4.98% -10.18% 0.05% 201602 -2.07% -2.90% 0.06% 201603 11.63% 8.71% 0.06% 201604 0.32% 1.40% 0.07% 201605 9.39% -1.20% 0.09% 201606 1.62% -0.10% 0.09% 201607 5.91% 5.28% 0.09% 201608 8.20% 4.96% 0.08% 201609 5.55% 1.39% 0.09% 201610 -3.38% -1.56% 0.11% 201611 -5.88% -0.63% 0.11% 201612 -2.07% -3.46% 0.12% 201701 7.75% 6.18% 0.14% 201702 1.27% 1.63% 0.14% 201703 7.63% 1.56% 0.09% 201704 9.25% 2.09% 0.09% 201705 10.20% 4.25% 0.08% 201706 4.33% 0.41% 0.09% 201707 12.25% 6.05% 0.11% 201708 4.98% 2.37% 0.11% 201709 2.19% -1.49% 0.09% 201710 4.05% 2.51% 0.09% 201711 13.78%…
- a. Using the data in the table below alculate the following performance measures.i. Sharpe ratioii. Treynor measureiii. Jensen’s alphaiv. M-squared measurev. T-squared measure, andvi. Appraisal ratio (information ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000 b. Out of the performance measures you calculated in part a., which one would you use undereach of the following circumstances:i. You want to select one of the funds as your risky portfolio.ii. You want to select one of the funds to be mixed with the rest of your portfolio,currently composed solely of holdings in the market-index fund.iii. You want to select one of the funds to form an actively managed stock portfolioYou are analyzing risk and return and CAPM using the historical data provided below (the same as the downloadable file DataQ16.xlsx ). YYYYMM Return(Stk) Return(Mkt) Return(T-bill) 201601 -4.98% -10.18% 0.05% 201602 -2.07% -2.90% 0.06% 201603 11.63% 8.71% 0.06% 201604 0.32% 1.40% 0.07% 201605 9.39% -1.20% 0.09% 201606 1.62% -0.10% 0.09% 201607 5.91% 5.28% 0.09% 201608 8.20% 4.96% 0.08% 201609 5.55% 1.39% 0.09% 201610 -3.38% -1.56% 0.11% 201611 -5.88% -0.63% 0.11% 201612 -2.07% -3.46% 0.12% 201701 7.75% 6.18% 0.14% 201702 1.27% 1.63% 0.14% 201703 7.63% 1.56% 0.09% 201704 9.25% 2.09% 0.09% 201705 10.20% 4.25% 0.08% 201706 4.33% 0.41% 0.09% 201707 12.25% 6.05% 0.11% 201708 4.98% 2.37% 0.11% 201709 2.19% -1.49% 0.09% 201710 4.05% 2.51% 0.09% 201711 13.78%…calculate the following Sharpe Ratio (SP) Treynor Measure Jensen Measure M2 measure T2 measure Information Ratio (appraisal ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000
- True or false? Beta of MSFT is 0.7 and beta of RCL is 1.33. One can conclude that unsystematic risk of RCL is higher than unsystematic risk of MSFT.calculate the following M-squared measureT-squared measure, andAppraisal ratio (information ratio) Fund Average return Standard Deviation Beta coefficient Unsystematic Risk A 0.240 0.220 0.800 0.017 B 0.200 0.170 0.900 0.450 C 0.290 0.380 1.200 0.074 D 0.260 0.290 1.100 0.026 E 0.180 0.400 0.900 0.121 F 0.320 0.460 1.100 0.153 G 0.250 0.190 0.700 0.120 Market 0.220 0.180 1.000 0.000 Risk free return 0.050 0.000 Out of the performance measures you calculated in part a., which one would you use undereach of the following circumstances:i. You want to select one of the funds as your risky portfolio.ii. You want to select one of the funds to be mixed with the rest of your portfolio,currently composed solely of holdings in the market-index fund.iii. You want to select one of the funds to form an actively managed stock portfolioSeidsmong ed liw onon aysh bajosios vimobnsi à to Juo ferit vtilidadorq adi ai tsrW Task 2: Assume that a risk manager estimates the following probabilities of various losses for a certain risk: Amount of Loss, EUR Probability of Loss 0.40 0.60 225 350 1. Given the probability distribution, find the expected loss.
- TOTAL VS. SYSTEMATIC RISK • Consider the following information: Standard Deviation BetaSecurity C 20% 1.25Security K 30% 0.95 • Which security has more total risk?• Which security has more systematic risk?• Which security should have the higherexpected return?Evaluating Stand-Alone Risk: Example 9-4, (page 411) Conestoga Ltd. has the following estimated probability distribution of returns. Return Probability 4% .20 12% .50 14% .30 Calculate Conestoga’s expected return, the variance and standard deviation of its expected return and the return’s coefficient of variation. Please explain to me in detail how the variance of returns is obtained. I don't understand the equation used to get the answer.What is the expected return of a portfolio of two risky assets if the expected return E(Ri), standard deviation (SDi), covariance (COVij), and asset weight (Wi) are as shown below? Asset (A) E(R₂) = 25% SDA = 18% WA = 0.75 COVA, B = -0.0009 Select one: A. 13.65% B. 20 U ODN 20.0% C. 18.64% D. 22.5% Asset (B) E(R₂) = 15% SDB = 11% WB = 0.25
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