a) Calculate expected excess returns for stock A

b) Calculate expected excess returns for stock B

c) Calculate expected alpha values for stock A

d) Calculate expected alpha values for stock B

e) Calculate expected residual variances for stock A

f) Calculate expected residual variances for stock B

g) Suppose that the portfolio manager follows the Treynor-Black model, and constructs an active portfolio (p) that consists of the above two stocks. The alpha of the active portfolio (p) is -18%, and its residual standard deviation is 150%

h) Suppose that the portfolio manager follows the Treynor-Black model, and constructs an active portfolio (p) that consists of the above two stocks. The alpha of the active portfolio (p) is -18%, and its residual standard deviation is 150%

Instruction: enter your response as a decimal number rounded to four decimal places

A portfolio manager summarizes the input from the macro and micro forecasts in the following table: Micro Forecasts Asset Expected Return (%) Beta Residual Standard Deviation (%) Stock A 20 1.50 60 Stock B 18 2.00 40 Macro Forecasts Asset Expected Return (%) Standard Deviation (%) T-bills 5 o Passive Equity Portfolio (m) 16 25 A portfolio manager summarizes the input from the macro and micro forecasts in the following table: Micro Forecasts Asset Expected Return (%) Beta Residual Standard Deviation (%) Stock A 20 1.50 60 Stock B 18 2.00 40 Macro Forecasts Asset Expected Return (%) Standard Deviation (%) T-bills 5 o Passive Equity Portfolio (m) 16 25