What is the sharpe ratio of your portfolio

Reference no: EM133376971

Question: You are a portfolio manager of a risky portfolio with an expected rate of return of 14% and a standard deviation of 28%. The T-bill rate is 4%. Suppose your client decides to invest in your risky portfolio a proportion (y) of his total investment budget so that his overall portfolio will have a standard deviation of 10%.

a. What is the proportion y?

b. What will be the expected return of your client's portfolio?

c. What is the Sharpe ratio of your portfolio?

d. Suppose your client is wondering if he should switch his money in your fund to a passive portfolio invested to mimic the S&P 500 stock index yields an expected rate of return of 9% with a standard deviation of 25%. Show your client the maximum fee you could charge (as a percent of the investment in your fund deducted at the end of the year) that would still leave him at least as well off investing in your fund as in the passive one. (Hint: The fee will lower the slope of your client's CAL by reducing the expected return net of the fee.)

Reference no: EM133376971

Questions Cloud

Find the value of the firm, the value of the firms equity : FINANCE 324 Stanford University Find the value of the firm, the value of the firm's equity and the share price of the firm, based on your analysis

Difficult to update to newest publishing software : Difficult to update to the newest publishing software every year because of the cost of installing the new software and removing the old software.

How do you think government disability insurance work rules : With the growth of remote work options in the aftermath of COVID-19, how do you think government disability insurance work rules should be changed, if at all?

Scholarly sources more appropriate for academic research : Why is it important to critically analyze sources? Why are scholarly sources more appropriate for academic research?

What is the sharpe ratio of your portfolio : FIN 7520 William Paterson University What will be the expected return of your client's portfolio and What is the Sharpe ratio of your portfolio

Postal service orientation problem : Describe the nature and causes of the U.S. Postal Service orientation problem in this case.

Consider legislation reducing the maximum work week : Vermont Senator Bernie Sanders has said that he would be willing to consider legislation reducing the maximum work week to 32 hours without any reduction

Occasionally managers choose to enhance communication : Occasionally managers choose to enhance communication by using the telephone as the only mode of communicating.

What is absolute advantage in trade theory : What is absolute advantage in trade theory? What is the comparative advantage on international trade? How does absolute and comparative advantage lead

User Account

All Pages