None You manage a client's portfolio and according to the investment policy statement (IPS) you should invest60% in stocks, 30% in long-term bonds, and 10% in money-market securities. The table below showsyour actual investment allocation and performance over the past year. Actual weight BenchmarkPerformance Actual Performance Stocks 55% - 2% -1% LT Bonds 40% 4% 3% Money Market 5% 1.5% 1% aPlease compare your actual performance to the benchmark performance. b. Please attribute yourportfolio's performance to asset allocation and selection.

b. Attribution of Portfolio Performance:Portfolio performance attribution involves assessing the…

Answered: You manage a client's portfolio and…

Essentials Of Investments

11th Edition

ISBN:9781260013924

Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Chapter1: Investments: Background And Issues

Section: Chapter Questions

Problem 1PS

See similar textbooks

Similar questions

National Investment Corporation has invested its portfolio as shown below. What is National's expected portfolio return? Asset Portfolio weight Expected return Money market securities 25% 8% Corporate bonds 30% 12% Equities 45% 9%
Portfolio Analysis (Er) (30 points) 3. You have worked with your client and put together an investment portfolio based on the client's preferences for risk. The portfolio will be divided among several asset classes defined below. Asset Class Allocation Expected Return Standard Deviation of Returns 10 Year T-Bonds 37% 4.13% 0.00% International Bonds (Private Corporate) 12% 6.32% 34.23% Rusell 2000 ETF 41% 6.70% 12.32% FTSE 100 ETF 10% 32.10% 21.30% 100% a. What is the expected return for this portfolio? Provide the result as x.xx%. b. What is the expected return for the portfolio if you decide not to invest in treasury bonds? Provide the result as x.xx%. c. What asset class would you eliminate to maximize expected return? Explain why.
During 2021, HESTA super fund earned a return of 1% p.a. by making the following investments in asset classes: Weight Return(p.a.) Bonds 20% 5% Stocks 80% 0% The return on a benchmark portfolio was 2% p.a., calculated from the following information. Weight Return(p.a.) Bonds (ASX Index) 50% 5% Stocks (ASX Index) 50% -1% The contribution of asset allocation across markets to the HESTA Super fund's annual total abnormal return wa: ✓ -1.80%. -1.00%. 0.80%. The contribution of selection within markets to the HESTA Super fund's annual total abnormal return was 1.00%.
You are provided with information regarding the benchmark portfolio and the Alpha managed portfolio as follows: Benchmark Weightings are 50%; 30% and 20% for equity; bonds and cash respectively. Returns are 16%; 9% and 4% for equity; bonds and cash respectively. Alpha managed portfolio Weightings are 70%; 20% and 10% for equity; bonds and cash respectively. Returns are 19%; 11% and 6% for equity; bonds and cash respectively. Determine the performance attributed to asset allocation of the portfolio manager.
Imagine you wish to estimate the betas for two investments, A and B. You have gathered the following return data for the market and for each of the investments over the past 10 years, 2010-2019 2019 Year 2010 2011 2012 2013 2014 2015 2016 2017 2018 12% Market returns 2% 13% -7% 1% 9% 10% 21% -10% 4% 10% Stock A returns 5% 10% -2% 0% 5% 12% 15% -9% 1% 15% Stock B returns 7% 9% 3% -2% 11% 9% 10% -11% 2% a. On a set of market return (x-axis)-investment return (y-axis) axes, use the data to draw the characteristic lines for investments A and B on the same graph. b. Use the characteristic lines from part a to estimate the betas for investments A and B. c. Use the betas found in part b to comment on the relative risks of investments A and B
The fund manager of Fritz Investment Holdings was asked to review the risk and return of the company's leveraged portfolio. The characteristics of the company's assets and liabilities are as follows: The portfolio return is closest to: Duration Interbank Borrowings Fixed Income Securities Tenor Amount Yield 40,000,000,000.00 3% 3 months 53,000,000,000.00 4.90% 20 years 0.25 12
Assume that you have just received information from your investment advisor that your portfolio has reached a value of $1,250,000. Your portfolio consists of three stocks, as follows: Stock Amount Invested % of Total Beta A $250,000 20% 1.12 B $400,000 32% .85 C $600,000 48% .55 Total: $1,250,000 100% Calculate the beta of this investment portfolio. Assume that the expected market return ( r m ) is 9 percent and the expected risk- free rate ( RF ) is 2 percent. What is the expected return ( r j ) for this investment portfolio?
In a particular year, Aggie Mutual Fund earned a return of 15% by making the following investments in the following asset classes: Weight Return Bonds 10 % 6 % Stocks 90 % 16 % The return on a bogey portfolio was 10%, calculated as follows: Weight Return Bonds (Lehman Brothers Index) 50 % 5 % Stocks (S&P 500 Index) 50 % 15 % The contribution of selection within markets to total excess return was A. 3%. B. 5%. C. 4%. D. 1%.
Bond valuation related problems should be solved by using a financial calculator or MS excel spreadsheet. Accordingly, you must show the values of all relevant time valu of money variables If D1 = $1.50 g (which is constant) = 6.5%, Po = $56, what is the stock's expected capital gains yield for the coming year?
Portfolio beta and weights Rafael is an analyst at a wealth management firm. One of his clients holds a $10,000 portfolio that consists of four stocks. The investment allocation in the portfolio along with the contribution of risk from each stock is given in the following table: Stock Investment Allocation Beta Standard Deviation Atteric Inc. (AI) 35% 0.900 23.00% Arthur Trust Inc. (AT) 20% 1.400 27.00% Li Corp. (LC) 15% 1.100 30.00% Transfer Fuels Co. (TF) 30% 0.300 34.00% Rafael calculated the portfolio’s beta as 0.850 and the portfolio’s required return as 8.6750%. Rafael thinks it will be a good idea to reallocate the funds in his client’s portfolio. He recommends replacing Atteric Inc.’s shares with the same amount in additional shares of Transfer Fuels Co. The risk-free rate is 4%, and the market risk premium is 5.50%. According to Rafael’s recommendation, assuming that the market is in equilibrium, how much will the portfolio’s required…
Use this info to answer question 10, please don't answer 8: Use the following information to answer questions 8-10. In a particular year, the Pontipines Fund earned a return of 1% by making the following investments in asset classes: The return on a bogey portfolio was 2%, calculated from the following information: The total abnormal return on the Pontipines Fund's managed portfolio was: A) - 1.80% B) -1.00% C) 0.80% D ) 1.00% 10) The contribution of selection within markets to the Pontipines Fund's total abnormal return was: A) -1.80% B ) -1.00% C) 0.80% D) 1.00%
Martin Brown is a fixed-income portfolio manager who works with large institutional clients. Brown is meeting with Sarah Redi, a consultant to the Horizon Redi Pension Plan, to discuss the management of the fund's, approximately R100 million. Treasury bond portfolio. The current Treasury yield curve is given in the following table. Maturity (years) 1 12 3 4 YTM (%) 6.0 8.0 9.0 9.5 Assume that the liquidity premiums for the one-year, two-year and three-year maturities (one year from now) are 1% 2.33% and 4%, respectively, determine the expected spot rates in one years time for the one, two, and three year maturing bonds.

SEE MORE QUESTIONS

Recommended textbooks for you

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Essentials Of Investments

Finance

ISBN:

9781260013924

Author:

Bodie, Zvi, Kane, Alex, MARCUS, Alan J.

Publisher:

Mcgraw-hill Education,

FUNDAMENTALS OF CORPORATE FINANCE

Finance

ISBN:

9781260013962

Author:

BREALEY

Publisher:

RENT MCG

Financial Management: Theory & Practice

Finance

ISBN:

9781337909730

Author:

Brigham

Publisher:

Cengage

Foundations Of Finance

Finance

ISBN:

9780134897264

Author:

KEOWN, Arthur J., Martin, John D., PETTY, J. William

Publisher:

Pearson,

Fundamentals of Financial Management (MindTap Cou…

Finance

ISBN:

9781337395250

Author:

Eugene F. Brigham, Joel F. Houston

Publisher:

Cengage Learning

Corporate Finance (The Mcgraw-hill/Irwin Series i…

Finance

ISBN:

9780077861759

Author:

Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor

Publisher:

McGraw-Hill Education

SEE MORE TEXTBOOKS