Reference no: EM132743682
Question - An investment firm uses the Carhart-Fama-French Model to track the performance of the portfolio managers in the firm. In 2019, the risk-free rate of return was 2.2% and the return on the S&P 500 (a proxy for the total market) was 28.9%. An actively managed large cap portfolio earned 32.8%, while the benchmark portfolio it was compared to earned 31.2%. The betas for the benchmark portfolio and the actively managed portfolio are:
Betas Risk Factor benchmark portfolio managed portfolio factor return
Market risk (RMRF) 1.00 1.05 ?
Small cap stocks (SMB) -0.50 -0.70 -5.90%
Value stocks (HML) 0.20 0.40 -6.35%
Momentum stocks (WML) 0.10 0.20 6.44%
Required -
a. What is the active return on the managed portfolio?
b. What is the factor return for market risk (RMRF)?
c. What proportion of the active return is due to the market risk tilt?
d. What proportion of the active return is due to the large cap stocks tilt (the tilt away from small cap stocks)?
e. What proportion of the active return is due to the value stocks tilt?
f. What proportion of the active return is due to the momentum stocks tilt?
g. What proportion of the active return is due to the manager's selection of individual stocks?
Analysis of recent work in science
: Develop your subject knowledge to meet your targets. It needs to link to the National curriculum e.g. force, respiration, photosynthesis, bonding, elements
|
What is the price at which you sell the bond
: You hold the bond for four years, and sell it immediately after receiving the fourth coupon. If the bond's yield to maturity was 5% when you purchased and sold
|
What will be net profit per share on a covered
: Options expire on December 21, 2021. What will be net profit/loss per share on a covered call (use K=$40 call) if the stock price is $100 per share?
|
What type of bond should she buy
: Rochelle wants to buy a bond, but she wants to avoid interest rate risk. She also prefers to receive a payment every three months instead of the traditional six
|
What is the active return on the managed portfolio
: In 2019, the risk-free rate of return was 2.2% and the return on the S&P 500 was 28.9%. What is the active return on the managed portfolio
|
What are the required annual beginning-of-year lease
: What are the required annual beginning-of-year lease payments if Paragon desires to earn a 14% after-tax rate of return? Assume a marginal tax rate of 30%
|
What is the initial price of the bond
: Suppose you purchase a 10-year bond with 6% annual coupons and $100 face value. You hold the bond for four years
|
Explain bnc cost of equity
: The cost of debt is 9 percent, the tax rate is 35 percent, and the cost of equity for an all-equity firm is 13 percent. What will be BNC's cost of equity?
|
Calculate the amount of manufacturing overhead cost incurred
: Calculate the amount of Manufacturing overhead cost incurred during the year. Direct Materials Inventory, beginning of the year$ 5,500
|