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4) 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 return, standard deviation and capm beta estimates for these two managers over the past five years: Portfolio Actual Avg. Return Standard Deviation Beta Manager Y 10.20% 12% 1.2 Manager Z 8.80% 9.90% 0.8 Additionally, your estimate for the risk premium for the market portfolio is 5% and the risk free rate is currently 4.5%. a. For both Manager Y and Manager Z, calculate the expected return using the CAPM. Express your answers to the nearest basis point (i.e. xx.xx%) b. Calculate each fund manager's average "alpha" (i.e. 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).
Hubbard argues that the Fed can control the Fed funds rate, but the interest rate that is important for the economy is a longer-term real rate of interest. How much control does the Fed have over this longer real rate?
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