What does a high R2 (correlation) between a fund’s excess returns and the market’s excess returns indicate about the fund manager’s ability to effectively diversify?
Answer to relevant QuestionsList some key areas relating to investment objectives. Assume the real return in the economy is 4 percent. It is anticipated that the consumer price index will go from 200 to 210. Shares in common stock are assumed to have a required return one-third higher than the risk-free ...What are house brokers on the New York Stock Exchange? What is the Sharpe approach to measuring portfolio risk? If a portfolio has a higher Sharpe measure than the market in general under the Sharpe approach, what is the implication? Assume the Jensen approach to portfolio valuation is being used. a. Draw a market line similar to that in Figure 22–4 on page 573. That is, show 0 excess returns at a 0 portfolio beta and 3 percent excess returns at a ...
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