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You are an analyst for a large public pension fund and you have been assigned the task of evaluating two different external portfolio managers (Y and Z). You consider the following historical average returns, standard deviation, and CAPM beta estimates for these two managers over past five years
Portfolio Actual Average Return% Standard Deviation% Beta Manager Y 10.20 12.00 1.20 Manager Z 8.80 9.90 0.80
Additionally, your estimate for the risk premium for the market portfolio is 5.00 percent and the risk free rate is currently 4.50 percent
1) For both Manager Y and Manager Z, calculate the expected return using the CAPM
2) Calculate each fund manager's average "alpha" (actual return minus expected return) over the five year holding period. Show graphically where these alpha statistics would plot on the security market line (SML)
3) Explain whether you can conclude from the information in bii) if either manager outperformed market expectation in general
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