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

Methods of risk management, Risk is inherent in business and hence there is...

Risk is inherent in business and hence there is no escape from the risk for a businessman. However, he may face this problem with greater confidence if he adopts a scientific appro

Hi, ashjadsgdjhs

ashjadsgdjhs

Risk management decisions should be transparent, Risk management decisions ...

Risk management decisions and practices should be transparent Risk management should include the identification and systematic documentation of all elements of the risk managem

Show capital market line, Q. Capital market line? When their exists com...

Q. Capital market line? When their exists complete agreement between all investor with regards to a security Expected return, variance and covariance as well as on the rate of

Request for your service.., I am a university student, and for a project as...

I am a university student, and for a project assignment to be completed, my team is going to write a business plan and a compliance Manuel for stock brokers and investment advisors

Explain the term risk assessment, Question: (a) Explain the term Risk ...

Question: (a) Explain the term Risk assessment and outline the provision of the Occupational Safety and Health Act 2005 with respect to risk assessment. (b) Risk Assessment

Risks covered under the policy., An insurance company is investigating offe...

An insurance company is investigating offering kidnap and ransom insurance. Policies are to be sold to multinational companies to provide cover for certain named employees who are

Differentiate between implied and historical volatility, Question 1: (a...

Question 1: (a) What are the distinct types of assets under which derivatives can be based upon? (b) Give at least 5 risks that justify the existence of derivatives? Endorse

Objectives of risk communication, Objectives of risk communication The ...

Objectives of risk communication The fundamental goal of risk communication, as you may have realized, is to provide meaningful, relevant and accurate information, in  clear  a

Investment performance, Hi I would like to know how you could assist on su...

Hi I would like to know how you could assist on subject title assignment and pricing

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