You are an analyst for a large public pension fund and you

Assignment Help Programming Languages

Reference no: EM13382913

You are an analyst for a large public pension fund and you have been assigned the task of evaluating 2 different external portfolio managers (Y and Z). You consider the following historical average return, standard deviation and CAPM beta estimates for these 2 managers over the past 5 years : Portfolio Actual Average Return Standard Deviation Beta Manager Y 10.2% 12% 1.2 Manager Z 8.8% 9.9% 0.8 Additionally, your estimate for the risk premium for the market portfolio is 5.00% 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 5-year holding period. Show graphically where these ? statistics would plot on the security market line (SML).

c) Explain whether you can conclude from the information in Part b if :

i. Either manager outperformed the other on a risk-adjusted basis

ii. Either manager outperformed market expectations in general.

Reference no: EM13382913

Questions Cloud

One of the most fascinating features of the global economy : one of the most fascinating features of the global economy is that governments have such different ideas about what

According to morgan 2006 all theories of organization and : according to morgan 2006 all theories of organization and management are based on implicit images or metaphors that

Pastico corporation hears through the grapevine that its : pastico corporation hears through the grapevine that its employees are unhappy with the working conditions and wages

Why are there so many laws relating to hrm practices which : why are there so many laws relating to hrm practices? which are the most important laws in your opinion?what

You are an analyst for a large public pension fund and you : you are an analyst for a large public pension fund and you have been assigned the task of evaluating 2 different

Researchers wanted to explore self-esteem in adolescent : researchers wanted to explore self-esteem in adolescent boys and adolescent girls. each respondent completed a 10-item

The shift of american health insurance policiesnbsphow the : the shift of american health insurance policiesnbsphow the changes affect our economynbspi.nbsp a brief explanation of

Postel s 2001 february safeguarding our water growing more : postel s. 2001 february. safeguarding our water growing more food with less water. scientific american 2842

A rental car manager estimates the number of full-size : a rental car manager estimates the number of full-size sedans rented per week 5 so that she can maintain adequate

User Account

All Pages