1.

A stock has an annual return of 12 percent and a standard deviation of 31 percent. What is the smallest expected loss over the next year with a probability of 5 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Smallest expected loss

%

2.

Tyler Trucks stock has an annual return mean and standard deviation of 14 percent and 37 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 11.2 percent and 55 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is .5. What is the smallest expected loss for your portfolio in the coming month with a probability of 1.0 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Smallest expected loss

%

3.

Tyler Trucks stock has an annual return mean and standard deviation of 12.0 percent and 41 percent, respectively. Michael Moped Manufacturing stock has an annual return mean and standard deviation of 23.0 percent and 67 percent, respectively. Your portfolio allocates equal funds to Tyler Trucks stock and Michael Moped Manufacturing stock. The return correlation between Tyler Trucks and Michael Moped Manufacturing is .5. What is the smallest expected loss for your portfolio in the coming month with a probability of 1.0 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Smallest expected loss

%

4.

Your portfolio allocates equal amounts to three stocks. All three stocks have the same mean annual return of 10 percent. Annual return standard deviations for these three stocks are 27 percent, 37 percent, and 47 percent. The return correlations among all three stocks are zero. What is the smallest expected loss for your portfolio in the coming year with a probability of 1 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the "%" sign in your response.)

Smallest expected loss

%

5.

You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 8 percent and 13 percent, respectively. The standard deviations of the assets are 30 percent and 38 percent, respectively. The correlation between the two assets is .43 and the risk-free rate is 5.6 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 5 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and Probability answer to 2 decimal places. Omit the "%" sign in your response.)

Sharpe ratio
Smallest expected loss	%

6.

Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97.

Year	Fund	Market	Risk-Free
2008	22.40	%	42.5	%	3	%
2009	25.1		21.3		5
2010	14.2		14.8		2
2011	6.6		8.8		6
2012	2.28		5.2		3

What are the Sharpe and Treynor ratios for the fund?(Do not round intermediate calculations. Round your answers to 4 decimal places.)

Sharpe ratio
Treynor ratio

7.

Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97.

Year	Fund	Market	Risk-Free
2008	15.20	%	30.5	%	3	%
2009	25.1		20.1		4
2010	13.0		11.2		2
2011	7.4		8.0		5
2012	1.56		3.2		2

Calculate Jensens alpha for the fund, as well as its information ratio.(Do not round intermediate calculations. Round your Jensens alpha answer to 2 decimal placesand Information ratio answer to 4 decimal places.Omit the "%" sign in your response.)

Jensens alpha	%
Information ratio