Expected return over the benchmark, Risk Management

Assignment Help:

The Investment Committee is big on active management, and believes that there are areas/pockets of inefficiencies in the market. Knowing that you have taken Finance 455 at X-University, the Committee asks that you look into constructing an equity portfolio benchmarked to the Dow Jones Industrial Average (DJIA). They would like for you to make an equity portfolio that can be expected to create at least 2% of alpha (above the DJIA) with a tracking error budget of 4% (or stated differently, an Information Ratio of 0.50).

Based on that information, and with the Excel Spreadsheet given (showing historical return data for the DJIA component stocks), design a portfolio that can yield a 2% enhance in expected return over the benchmark (alpha), with a maximum of 4% tracking error (Information Ratio at least 0.50).

 


Related Discussions:- Expected return over the benchmark

Discuss country risks, QUESTION 1 Discuss the following terms with supp...

QUESTION 1 Discuss the following terms with supported examples (a) Country risks (b) Funding risks (c) Market risks QUESTION 2 Total return swaps are used by f

coon position is quite substantial part, A former alumna of the University...

A former alumna of the University, who originated Racoon.com ((ticker: COON1), recently passed away. In her Will, she named X-University as the beneficiary of her assets, which was

Budget and value report, A strategy value assessment, based on calculating ...

A strategy value assessment, based on calculating the budget of the project. Discussion should not restrict itself to construction cost control but should consider the life cycle a

Insurance, insurance is a pool of risk?discuss

insurance is a pool of risk?discuss

Risk, You are the project manager for XYZ Company. Within six months of wor...

You are the project manager for XYZ Company. Within six months of work, you have identified risks exposure on the company project and specific risk process has been instantiated. W

Implementation of syringe management plan, Risk Management The major ri...

Risk Management The major risks involved in the implementation of syringe management plan include the following. Ideas to manage them are as well mentioned along with the risks

Hi, ashjadsgdjhs

ashjadsgdjhs

Currency hedging for exporting and importing company, I want an assignment ...

I want an assignment on a exporting and importing company and how does it do currency hedging and reduce the risk of currency fluctuation

Explain mechanisms of financial system for risk transferred, Explain about ...

Explain about the mechanisms of financial system for risk to be transferred. Financial systems also give mechanisms for risk to be transferred. For instance insurance contracts

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd