Calculate the expected return for omega fund

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Q1. During the past five years, Portfolio A has had a mean return of 0.18 per quarter and a beta of 1.2. During the same time period, the market averaged a 0.12 return, and treasury bills averaged a 4% return. The value of alpha (α) is

Note: write the whole number as it appears on your calculator

Q2. A stock has a correlation with the market of 0.45. The standard deviation of the market is 0.12 and the standard deviation of the stock is 0.32. What is the stock's beta? 

(note: round your answer to two decimal places)

Round your answer to 2 decimal places.

Q3. What is the standard deviation of a portfolio of two stocks given the following data? Stock A has a standard deviation of 0.19. Stock B has a standard deviation of 0.11. The portfolio contains 40% of stock A and the correlation coefficient between the two stocks is -0.23. 

(Note: round your answer to four decimal places)

Q4. The expected return for the market is 12 percent, with a standard deviation of 20 percent. The expected risk-free rate is 8 percent. Information is available for three mutual funds, all assumed to be efficient, as follows:

Mutual Funds                   SD(%)

Affiliated                         0.23

Omega                           0.2

Ivy                                0.11

Based on the Capital Market Line (CML), Calculate the EXPECTED RETURN for Omega fund (write the number as a fraction and round the answer to two decimal number)

Round your answer to 2 decimal places.

Q5. The standard deviation of return on investment A is 0.18, while the standard deviation of return on investment B is 0.21. If the correlation coefficient between the returns on A and B is -0.80, the covariance of returns on A and B is _________. 

Note: round your answer to four decimal places

Round your answer to 4 decimal places.

Reference no: EM133067816

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