A portfolio manager summarizes the input from the macro and micro forecasters in the following table:...
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A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Expected Return (%) Beta Deviation (%) 1.3 1.8 0.7 1.0 20 18 17 12 Residual Standard Asset T-bills Passive equity portfolio Excess returns Alpha values Residual variances Macro Forecasts 58 71 60 55 Expected Return Stock A 12 1.6 3,364 ( % ) 8 16 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) Standard Deviation (%) % % 0 23 ✓ Answer is complete and correct. Stock B 10 % (4.4) % 5,041 Stock C 9 3.4 3,600 % % Stock D 4 (4.0) 3,025 % % b. Compute the proportion in the active portfolio and the passive index. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) X Answer is complete but not entirely correct. Proportion in Active Portfolio Proportion in Passive Index 0.3478 x 0.3622 X A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Asset Stock A Stock B Stock C Stock D Micro Forecasts Expected Return (%) Beta Deviation (%) 1.3 1.8 0.7 1.0 20 18 17 12 Residual Standard Asset T-bills Passive equity portfolio Excess returns Alpha values Residual variances Macro Forecasts 58 71 60 55 Expected Return Stock A 12 1.6 3,364 ( % ) 8 16 a. Calculate expected excess returns, alpha values, and residual variances for these stocks. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Round "Alpha values" to 1 decimal place.) Standard Deviation (%) % % 0 23 ✓ Answer is complete and correct. Stock B 10 % (4.4) % 5,041 Stock C 9 3.4 3,600 % % Stock D 4 (4.0) 3,025 % % b. Compute the proportion in the active portfolio and the passive index. (Negative values should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as decimals rounded to 4 places.) X Answer is complete but not entirely correct. Proportion in Active Portfolio Proportion in Passive Index 0.3478 x 0.3622 X
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Related Book For
Contemporary Financial Management
ISBN: 978-1285198842
13th edition
Authors: R. Charles Moyer, James R. McGuigan, Ramesh P. Rao
Posted Date:
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