(P B)/N Now according to the formula a = a = (0.361.44 +0.04 -0.09 +0.03 +1.45...
Fantastic news! We've Found the answer you've been seeking!
Question:
Transcribed Image Text:
(P B)/N Now according to the formula a = a = (0.361.44 +0.04 -0.09 +0.03 +1.45 +3.07)/7 a = 0.48857 alpha can be calculated as : - CALCULATING TRACKING ERROR (TE) Tracking error is defined as the standard deviation of the difference between portfolio and benchmark return (P-B) for the different periods: - TE Standard deviation of (P-B) Standard deviation of (P-B) can be calculated by the formula :- o = ((PB); - p)/N PERIOD 1 2 3 4 5 6 7 PORTFOLIO RETURN P 16.25% 22.18% -4.78% 9.56% 10.14% -12.68% 28.29% BENCHMARK RETURN B 15.89% 23.62% -4.82% 9.65% 10.11% -14.13% 25.22% (PORTFOLIO-BENCHMARK) RETURN 0.36% -1.44% 0.04% -0.09% 0.03% (P-B) 1.45% 3.07% (P B)/N Now according to the formula a = a = (0.361.44 +0.04 -0.09 +0.03 +1.45 +3.07)/7 a = 0.48857 alpha can be calculated as : - CALCULATING TRACKING ERROR (TE) Tracking error is defined as the standard deviation of the difference between portfolio and benchmark return (P-B) for the different periods: - TE Standard deviation of (P-B) Standard deviation of (P-B) can be calculated by the formula :- o = ((PB); - p)/N PERIOD 1 2 3 4 5 6 7 PORTFOLIO RETURN P 16.25% 22.18% -4.78% 9.56% 10.14% -12.68% 28.29% BENCHMARK RETURN B 15.89% 23.62% -4.82% 9.65% 10.11% -14.13% 25.22% (PORTFOLIO-BENCHMARK) RETURN 0.36% -1.44% 0.04% -0.09% 0.03% (P-B) 1.45% 3.07%
Expert Answer:
Answer rating: 100% (QA)
b Calculation of Alpha b Given Portfolio returns P 1625 2218 478 956 1014 1268 2829 Benchmark return... View the full answer
Related Book For
Multinational Business Finance
ISBN: 978-0132743464
13th edition
Authors: David K. Eiteman, Arthur I. Stonehill, Michael H. Moffett
Posted Date:
Students also viewed these finance questions
-
Portray in words what transforms you would have to make to your execution to some degree (a) to accomplish this and remark on the benefits and detriments of this thought.You are approached to compose...
-
Let A, B be sets. Define: (a) the Cartesian product (A B) (b) the set of relations R between A and B (c) the identity relation A on the set A [3 marks] Suppose S, T are relations between A and B, and...
-
Find the derivative of the function. y = e x-4
-
After all revenue and expense accounts have been closed at the end of the fiscal year, Income Summary has a debit of $2,450,000 and a credit of $3,000,000. At the same date, Retained Earnings has a...
-
Multiply. (4 + 8i)(6 5i) (4 + 8i)(6 5i) = | (Simplify your answer. Type your answer in the form a + bi. Do not factor.)
-
Graph the heat loss per unit length from the solar collector of Problem 9.76 over the range \(0.1 \leq D_{o} \leq 0.25\mathrm{~m}\) assuming (i) conduction heat transfer across the annular space and...
-
Some Internet retailers track whether its customers have recently visited popular price-comparison sites. Why might these retailers offer different prices to those who have and have not recently...
-
On March 1, 2019, Wanda Sykes drove her 2019 SUV through Bon Temps' main street. Wanda's phone rang at an intersection. She dropped it on the passenger side as she got in. Wanda's two-year-old twins,...
-
Which series has the highest beta. BraveNewCoin Liquid Index for Bitcoin 1D BNC Trading Brave Ne Yellow Green Blue Orange
-
Find the variance of the data. 465, 460, 497, 462, 462, 474 x = 470 Variance (02) = [?]
-
Construct a simple program to access memory in widely separated places. Measure the memory system bandwidth and compare to the best-case bandwidth.
-
Construct a simple program to perform some memory accesses. Use a logic analyzer to study the bus activity. Determine what types of bus modes are used for the transfers.
-
Write C code for an FIR filter. Measure the execution time of the filter, either using a simulator or by measuring the time on a running microprocessor. Vary the number of taps in the FIR filter and...
-
Assume that the managers of Fort Winston Hospital are setting the price for a new outpatient service. Here are relevant data estimates: a. What per visit price must be set for the service to break...
-
The audiology department at Randall Clinic offers many services to the clinics patients. The three most common, along with cost and utilization data, are as follows: a. What is the fee schedule for...
-
The following is a frequency distribution of grades of a sample of statistics examinations. Grade Frequency 50 - 59 7 60 - 69 10 70 - 79 22 80 - 89 15 90 - 99 6 Compute the following measures: a. The...
-
Michelles trust is subject to 3.8% surtax on the lesser of the trusts net investment income or the excess of the trusts adjusted gross income over the $12,400 threshold (the highest trust tax rate)....
-
What are the advantages and disadvantages of serving a foreign market through a greenfield foreign direct investment compared to an acquisition of a local firm in the target market?
-
Define and give an example of each of the following quotes: a. Bid quote. b. Ask quote.
-
The Venezuelan political and economic crisis deepened in late 2002 and early 2003. On January 1st, 2003, the bolivar was trading at Bs1400/$. By February 1st, its value had fallen to Bs1950/$. Many...
-
Financial items for George Karatsis IT Services on 31 May 2024 are presented below in alphabetical order. Required (a) Prepare a statement of financial position similar to the one in figure 2.2. (b)...
-
Rebecca Tallance operates a rent a dress business from her home. She keeps her accounting records for business activities completely separate from her records for personal activities. At 30 June...
-
During the year ended 30 June 2024, Skilled Services, a provider of temporary secretary personnel, had collected receipts from clients for a total value of \($250000.\) Wages of \($136000\) had been...
Study smarter with the SolutionInn App