Question: TRACKING ERROR Month Portfolio A Return Portfolio B Return Index January 1.69% 1.12% 1.02% February -0.36% -0.11% -0.12% March -0.41% -0.16% -0.15% April 0.91% 0.55%

TRACKING ERROR

Month Portfolio A Return Portfolio B Return Index

January 1.69% 1.12% 1.02%

February -0.36% -0.11% -0.12%

March -0.41% -0.16% -0.15%

April 0.91% 0.55% 0.54%

May 0.99% 0.50% 0.45%

June 2.11% 1.58% 1.61%

July -1.49% -1.04% -1.02%

August 1.34% 0.96% 0.87%

September -0.77% -0.47% -0.44%

October -0.42% -0.25% -0.21%

November 0.37% 0.08% 0.06%

December 0.51% 0.14% 0.13%

(a) Calculate the monthly mean, variance and standard deviation for the returns of each of the portfolios and for the index.

Mean

Variance

Standard Deviation

(b) Calculate the monthly and annualized tracking errors in basis points for each of the portfolios.

(c) Which portfolio is more actively managed? Why?

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer
Step: 1 Unlock blur-text-image
Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock
Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Q:

Healthcare Budget Project. Please see attached instructions BUSI 523 BUDGET PROJECT GRADING RUBRIC Criteria Part 1: Financial Statement Analysis Part 1: Financial Statement Analysis Part 2: Budget...

Q:

I need help with this budget assignment, I have attached the instructions BUSI 523 BUDGET PROPOSAL INSTRUCTIONS Instructions: Complete each part of the following Case Study. You will need to use...

Q:

1. Calculate the cost of each capital component, after-tax cost of debt, cost of preferred, and cost of equity with the DCF method and CAPM method. 2. What do you estimate the company?s WACC? Please...

Q:

AVERAGE RETURNS Month Portfolio A Return Portfolio B Return Index January 1.69% 1.12% 1.02% February -0.36% -0.11% -0.12% March -0.41% -0.16% -0.15% April 0.91% 0.55% 0.54% May 0.99% 0.50% 0.45% June...

Q:

Month Portfolio A Return Portfolio B Return Index January 1.81% 1.13% 1.04% February -0.36% -0.11% -0.11% March -0.41% -0.16% -0.13% April 0.91% 0.55% 0.58% May 0.99% 0.50% 0.47% June 2.21% 1.55%...

Q:

(a) Calculate the arithmetic average monthly return for each portfolio and for the index. (b) Calculate the geometric average monthly return for each portfolio and for the index. (c) Calculate the...

Q:

please answer using excel QUESTION 12-AVERAGE RETURNS Month Portfolio A Return Portfolio B Return Index 1.93% 1.07% 1.05% January February -0.44% -0.11% -0.12% March -0.46% -0.17% -0.14% April 0.99%...

Q:

Basic Hedge Fund Statistics Examine the monthly hedge fund indices data in from Jan 1994 to April 2016 available in HWK1_Data.xlsx A.) Compute the following statistics: (1) Annualized Return; (2)...

Q:

Hello again. I wasable to get an extension on due time, so hopefully you can help. I took into consideration the time needed for you to complete,as per our last discussion. So please let me know asap...

Q:

This assignment is for a Quantitative Methods in Finance class. We require just the final part of the project to be done. Specifically: For each stock, you need to use a word file to summarize your...

Q:

Describe the structure of the FASB. Where does the FASB get its operating funds?

Q:

Lanka Industries is a technology company that operates in a highly competitive environment. In 2015, management had significantly curtailed its capital expenditures due to cash flow problems. Lanka...

Q:

Cuando una empresa quiere emitir un bono o una accin por primera vez, dnde se realiza la transaccin? Option A El mercado de futuros Option B El Mercado Primario Option C El Mercado Regional Option D...

Q:

Babineaux Company incurred the following costs in May 2010: Paid a six-month (May through October) premium for insurance of company headquarters, $18,600. Paid $1,000 fee for a salesperson to attend...

Q:

On January 2, 2011, the Highlands Company began construction on a new manufacturing facility for its own use. The building was completed in 2012. The company borrowed $1,500,000 at 8% on January 1 to...

Q:

The budget director of Gold Medal Athletic Co., with the assistance of the controller, treasurer, production manager, and sales manager, has gathered the following data for use in developing the...

Q:

The management of International Aluminum Co. is considering whether to process aluminum ingot further into rolled aluminum. Rolled aluminum can be sold for $ 2,200 per ton, and ingot can be sold...

Q:

On January 1, 2010, USA Oil Corporation purchased the rights to an offshore oil well for $55,000,000. The company expects the oil well to produce 10,000,000 barrels of oil during its life. During...

Q:

Design a minimum-mass symmetric three-bar truss (the area of member 1 and that of member 3 are the same) to support a load P, as was shown in Fig. 2.9. The following notation may be used: Pu = P cos...

Q:

Define self-awareness and cite its benefits.

Q:

Compare and contrast skills, knowledge, and interests.

Q:

Explain how personality, skills, and interests relate to career choice.