Problem 7-03 You are an analyst for a large public Dension fund and you have been assigned the task af evaluating two different extanal portralio managers (Y and Z). You consider the following historical average rotum, standard devision, and CAPH bata estimates for these two managers over the past five years Portfolio Actual Avg Standard Buta Return Devintian Manager 13.00% 14.40% Manager 2 5.40% Additionally, your estimate for the risk premium for the market portfolio is 4.00 percent and the risk tree rate is currently 3.50 percent. 3. For both Manager Y and Manager 2, calculate the expected robum using the CAPM. Round your answers to two decimal places. Manager Y: Manager Z: D. Calculate cach und manager's average alpha (i.c., actus return minus expected return) over the five-year halding period. Round your answers to two decimal places Manager Y: Manager Z: 9 Choose the correc: SML graah. The correct graphis -Select- W W W. UU. 1 10 10 Del c. Explain whether you can conclude from the information in Part b if: 1. either manager outperformed the other on a risk-adjusted basis. -Select- outperformed the -Select- on a risk-adjusted basis. 2. either manager outperformed market expectations in general. Manager Y -Select- market expectations in general. Manager Z -Select- market expectations in general. Problem 7-03 You are an analyst for a large public Dension fund and you have been assigned the task af evaluating two different extanal portralio managers (Y and Z). You consider the following historical average rotum, standard devision, and CAPH bata estimates for these two managers over the past five years Portfolio Actual Avg Standard Buta Return Devintian Manager 13.00% 14.40% Manager 2 5.40% Additionally, your estimate for the risk premium for the market portfolio is 4.00 percent and the risk tree rate is currently 3.50 percent. 3. For both Manager Y and Manager 2, calculate the expected robum using the CAPM. Round your answers to two decimal places. Manager Y: Manager Z: D. Calculate cach und manager's average alpha (i.c., actus return minus expected return) over the five-year halding period. Round your answers to two decimal places Manager Y: Manager Z: 9 Choose the correc: SML graah. The correct graphis -Select- W W W. UU. 1 10 10 Del c. Explain whether you can conclude from the information in Part b if: 1. either manager outperformed the other on a risk-adjusted basis. -Select- outperformed the -Select- on a risk-adjusted basis. 2. either manager outperformed market expectations in general. Manager Y -Select- market expectations in general. Manager Z -Select- market expectations in general