This question is based on the Alpha_Beta tab of spreadsheet. a) Fill in the highlighted cells...

 

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This question is based on the "Alpha_Beta" tab of spreadsheet. a) Fill in the highlighted cells using appropriate formulas. b) Explain why the portfolio returns would be different from the expected returns of the current holdings. Hint: "transaction costs" is part of the answer, but there's something more. c) What does this mean about the way you should interpret the "alpha". A 1 2 Month 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 SD (Annualized) 24 Annualized Excess Return 25 Annualized Return 26 Beta 27 Expected Portfolio Return 28 Implied Portfolio Alpha 29 Sharpe Ratio Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Portfolio B -1.31% 3.47% 0.17% -2.74% 4.88% 2.85% -0.58% 2.80% -1.59% 2.24% 4.14% 2.85% -3.48% 8.18% 1.44% 0.48% 1.68% -1.11% 1.20% S&P 500 C -3.56% 4.31% 0.69% 0.62% 2.10% 1.91% -1.51% 3.77% -1.55% 2.32% 2.45% -0.42% -3.10% 5.49% -1.74% 0.85% 1.05% -2.10% 1.97% D E F G NASDAQ Composite Index NYSE Composite Index Risk-Free Rate (Annualized) Risk-Free Rate Month -4.16% 0.0033% -1.74% 4.98% 4.60% 0.0042% -2.53% 0.98% 0.0042% -2.01% 0.94% 0.0025% 3.11% 1.21% 0.0025% 3.90% 2.07% 0.0033% -0.87% -2.30% 0.0025% 4.82% 2.98% 0.0025% -1.90% -3.11% 0.0017% 3.06% 1.33% 0.0017% 3.47% 1.02% 0.0017% -1.16% -1.06% 0.0025% -2.13% -2.79% 0.0025% 7.08% 4.99% 0.0017% -1.26% -1.48% 0.0025% 0.83% 1.38% 0.0017% 2.60% 0.06% 0.0017% -1.64% -2.27% 0.0017% 2.84% 0.71% 0.0025% 0.04% 0.05% 0.05% 0.03% 0.03% 0.04% 0.03% 0.03% 0.02% 0.02% 0.02% 0.03% 0.03% 0.02% 0.03% 0.02% 0.02% 0.02% 0.03% This question is based on the "Alpha_Beta" tab of spreadsheet. a) Fill in the highlighted cells using appropriate formulas. b) Explain why the portfolio returns would be different from the expected returns of the current holdings. Hint: "transaction costs" is part of the answer, but there's something more. c) What does this mean about the way you should interpret the "alpha". A 1 2 Month 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 SD (Annualized) 24 Annualized Excess Return 25 Annualized Return 26 Beta 27 Expected Portfolio Return 28 Implied Portfolio Alpha 29 Sharpe Ratio Jan-14 Feb-14 Mar-14 Apr-14 May-14 Jun-14 Jul-14 Aug-14 Sep-14 Oct-14 Nov-14 Dec-14 Jan-15 Feb-15 Mar-15 Apr-15 May-15 Jun-15 Jul-15 Portfolio B -1.31% 3.47% 0.17% -2.74% 4.88% 2.85% -0.58% 2.80% -1.59% 2.24% 4.14% 2.85% -3.48% 8.18% 1.44% 0.48% 1.68% -1.11% 1.20% S&P 500 C -3.56% 4.31% 0.69% 0.62% 2.10% 1.91% -1.51% 3.77% -1.55% 2.32% 2.45% -0.42% -3.10% 5.49% -1.74% 0.85% 1.05% -2.10% 1.97% D E F G NASDAQ Composite Index NYSE Composite Index Risk-Free Rate (Annualized) Risk-Free Rate Month -4.16% 0.0033% -1.74% 4.98% 4.60% 0.0042% -2.53% 0.98% 0.0042% -2.01% 0.94% 0.0025% 3.11% 1.21% 0.0025% 3.90% 2.07% 0.0033% -0.87% -2.30% 0.0025% 4.82% 2.98% 0.0025% -1.90% -3.11% 0.0017% 3.06% 1.33% 0.0017% 3.47% 1.02% 0.0017% -1.16% -1.06% 0.0025% -2.13% -2.79% 0.0025% 7.08% 4.99% 0.0017% -1.26% -1.48% 0.0025% 0.83% 1.38% 0.0017% 2.60% 0.06% 0.0017% -1.64% -2.27% 0.0017% 2.84% 0.71% 0.0025% 0.04% 0.05% 0.05% 0.03% 0.03% 0.04% 0.03% 0.03% 0.02% 0.02% 0.02% 0.03% 0.03% 0.02% 0.03% 0.02% 0.02% 0.02% 0.03%

Answer rating: 100% (QA)

To fill in the highlighted cells in the AlphaBeta tab of the spreadsheet you would typically use formulas based on the provided data Without specific ... View the full answer