You are the Chief Investment Officer of a large, active pension fund who is looking to...

 

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You are the Chief Investment Officer of a large, active pension fund who is looking to add one new active portfolio manager to run a portion of the fund. Here are your two candidates: Manager Y who has a 5-year track record as follows: average annual return: 5.7%, beta = 0.8; Standard deviation: 15%; Portfolio Manager Z who has a 5- year track record as follows: average return: || 7.2%; beta = 1.4; Standard deviation = 22%;. The TSX Index has returned 4.5% annually with an annual standard deviation of 17% and the T-bill return was 0.50% annually over the past 5 years. Which manager should you choose? Briefly explain your reasoning. (5 marks) You are the Chief Investment Officer of a large, active pension fund who is looking to add one new active portfolio manager to run a portion of the fund. Here are your two candidates: Manager Y who has a 5-year track record as follows: average annual return: 5.7%, beta = 0.8; Standard deviation: 15%; Portfolio Manager Z who has a 5- year track record as follows: average return: || 7.2%; beta = 1.4; Standard deviation = 22%;. The TSX Index has returned 4.5% annually with an annual standard deviation of 17% and the T-bill return was 0.50% annually over the past 5 years. Which manager should you choose? Briefly explain your reasoning. (5 marks)

Answer rating: 100% (QA)

In the case you will go for portfolio manager Z since the man... View the full answer