The following plot shows the expected return against beta of the market portfolio M and your...

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The following plot shows the expected return against beta of the market portfolio M and your portfolio A based on some model you chose. upprepag 900 900 810 900 It is given that R₁ =0.06, SA=0.5, R = 0.034, o=0.015, R = 0.001. The total risk of your portfolio is 0.03375. Compute the following components: Return from selectivity Return from net selectivity Return from diversification You are a portfolio manager and a client has given you a target risk Br= 0.25. Compute the following com- ponents: Return due to "investor's risk." Return due to "manager's risk." This is the return due to the manager's choice of a different risk than the target. b. A large pension fund wants to evaluate the performance of four portfolio managers for the last 5 years. During this time period the average annual return of the S&P500 was 14% with standard deviation 12%. The average annual risk free interest rate was 8%. The four portfolios gave the following data: Portfolio Average annual return (%) Standard deviation (%) Beta A 16 1.2 B с D 19 16 10 13 22 1.9 10 0.8 15 1.3 For funds A and B, how much the return on B has to change to reverse the ranking using the Sharpe measure? The following plot shows the expected return against beta of the market portfolio M and your portfolio A based on some model you chose. upprepag 900 900 810 900 It is given that R₁ =0.06, SA=0.5, R = 0.034, o=0.015, R = 0.001. The total risk of your portfolio is 0.03375. Compute the following components: Return from selectivity Return from net selectivity Return from diversification You are a portfolio manager and a client has given you a target risk Br= 0.25. Compute the following com- ponents: Return due to "investor's risk." Return due to "manager's risk." This is the return due to the manager's choice of a different risk than the target. b. A large pension fund wants to evaluate the performance of four portfolio managers for the last 5 years. During this time period the average annual return of the S&P500 was 14% with standard deviation 12%. The average annual risk free interest rate was 8%. The four portfolios gave the following data: Portfolio Average annual return (%) Standard deviation (%) Beta A 16 1.2 B с D 19 16 10 13 22 1.9 10 0.8 15 1.3 For funds A and B, how much the return on B has to change to reverse the ranking using the Sharpe measure?

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