1. Calculate the Beta and Expected Return of the portfolio. 2. If the real risk-free rate is 2.10%, the inflation premium is 3.30% and the expected market return is 11.75%, calculate the required return of the portfolio according to the CAPM. 3. Should you invest in this portfolio or not?
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- Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio? Select one: a. 15.2% b. 16.4% c. 14.2% d. 14.9%Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the beta of the portfolio? Select one: a. 1.16 b. 0.59 c. 1.34 d. 1.20Suppose you have the following investments: Security Amount Invested Expected Return Beta A $2,000 5% .80 B $4,000 10% .95 C $6,000 15% 1.10 D $8,000 18% 1.40 What is the expected return on this portfolio?
- portfolio.. - Word **** References Mailings Review View Help RCM Acrobat Foxit Reader PDF Foxit PDF 5. The risk-free rate and the expected market rate of return are 0.04 and 0.14, respectively. According to the capital asset pricing model (CAPM), the expected rate of return on security X with a beta of 1.25 is equal to: a. 0.004 b. 0.165 C. 0.121 d. 0.132Based on Table 3, what is the liquidity risk premium? Table 3 Investment 1 2 3 4 5 O 1.25% O 1.50% O 0.25% O 1.12% Maturity 2 2 7 8 8 Liquidity High Low Low High Low Default Risk Low Low Low Low High Interest Rate 1.00% 1.25% 2.25% 2.93% 4.43%Assume that you are given the following historical returns for the Market and Security J. Also assume that the expected risk-free rate for the coming year is 4.0 percent, while the expected market risk premium is 15.0 percent. Given this information, determine the required rate of return for Security J for the coming year, using CAPM. Year 1 2 O21.20% 3 4 5 6 O22.34% O 23.49% O24.63% O24.10% Market 10.00% 12.00% 16.00% 14.00% 12.00% 10.00% Security J 12.00% 14.00% 18.00% 22.00% 18.00% 14.00%
- Suppose that an FI holds two loans with the following characteristics. Annual Spread Between Loss to FI Expected Loan Rate and FI=s Annual Given Default Loan Xi Cost of Funds Fees Default Frequency 1 .6 4.5% 2.5% 30% 3% ρ12 = -.4 2 .4 3.5% 2% 20% 5% Calculate of the return and risk on the two-asset portfolio using KMV Portfolio Manager.q4- The expected return on the market is 11% and the standard deviation of returns on the market is 4.8%. The risk-free rate of return is 5%. If you invest 75% of your funds in the market portfolio, and the balance in the risk-free asset, what is the expected return from your investment? a. 5.95% b. 10.21% c. 6.50% d. 9.50%13. Suppose that an FI holds two loans with the following characteristics. Annual Spread between Loan Rate and FI's Cost of Funds Loan X₁ 0.45 0.55 1 2 5.5% 3.5 Annual Fees 2.25% 1.75 Loss to Fl Expected Given Default Default Frequency 30% 20 3.5% 1.0 P12 = -0.15 Calculate the return and risk on the two-asset portfolio using Moody's Analytics Portfolio Manager.
- q5- The expected return on the market is 11% and the standard deviation of returns on the market is 4.8%. The risk-free rate of return is 5%. If you invest 75% of your funds in the market portfolio, and the balance in the risk-free asset, what is the standard deviation of the expected return from your investment? a. 3.60% b. 3.05% c. 1.20% d. 1.91%Set up the complete formula for Dollar Weighted Return (DWR) for the following portfolio including final value of the portfolio. Year 0 1 2 3 4 Actions at the ending of the year (Yr0)Starting with $1000 (Yr1)Adding $100 (Yr2)Withdrawing $200 (Yr3)Adding $300 (Yr4)Ending Value = ? ROR during each Yr (Yr0) - (Yr1) 8% (Yr2)-4% (Yr3) 9% (Yr4) 3% A. Calculate the time weighted return (TWR) Complete Questions with respect to ExcelQuestion #2: Asset Allocation Suppose an investor has a choice between two assets: Janus Balanced Mutual Fund (a risky asset) and 30- day treasury bills (a risk-free asset). Investment Expected Return Standard Deviation (6) Portfolio Weight [E(r)] Janus Balanced Fund 8.58% 8.67% 30 day T-bill 0.26% 1-y (a) Calculate the expected return and standard deviation of the overall portfolio---a portfolio consisting of a mixture of the risky asset and risk-free asset. [Hint: Your answers will be expressed as a function of y] (b) Use your answer from Part (a) to draw the capital allocation line (CAL). Be sure to label your axes. Indicate the portfolio that consists only of the risk-free asset on your CAL as Point "A". Indicate the portfolio that consists only of the risky asset on your CAL as Point "B". (c) Calculate the slope of the Capital Allocation Line. (d) Suppose that the investor chooses a portfolio weight of y = 1.5. Find the expected return and standard deviation of the overall…