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DO NOT ANSWER IN EXCEL PLEASE, THIS IS PAPER TEST Question swer all parts I. Explain the main characteristics of an active equity investment strategy
DO NOT ANSWER IN EXCEL PLEASE, THIS IS PAPER TEST
Question swer all parts I. Explain the main characteristics of an active equity investment strategy based on market timing 10 marks] II. Consider the following information about the performance of two fund managers during 2017: Return Standard devation of return Beta Manager A Manager B Market index 10% 7% 0.5 21% 22% 13% 10% The risk-free rate of interest was 2% (a) Calculate and interpret the Sharpe ratio for each manager and for the market index [5.5 marks] (b) Calculate and interpret the Treynor measure for each manager and for the market [5.5 marks] (c) Explain the features of the M2 performance measure, and discuss whether or not both index managers have outperformed the market based on this measure [8 marks] III. You are given the following information on the performance of a fund and on the market Return on the portfolio rp-23%; total risk of the portfolio ,-11%; beta of the portfolio p_ 0.90, return on the market rm-15%; total risk of the market m_ 8%, and the risk-free rate of interest r,-3%. The client-desired beta is given as .-0.75 Required: Decompose the portfolio's total return to identify the sources of the fund 11 marks] manager's performance. Interpret your results IV. Consider an equity portfolio, which had a value of 130m at the beginning of April 2018 A further 12m was deposited into the portfolio halfway through the month (i.e. on April 15th) By the end of the month, the portfolio was valued at 150m (a) Calculate and interpret the 'unadjusted' return on the portfolio for the month. [2 marks] (b) Estimate and interpret the money-weighted rate of return on the portfolio for the month [4 marks] (c) If the portfolio was valued at 140m immediately before the 12m deposit was made orn April 15th, calculate and interpret the time-weighted rate of return for the month. [4 marks]Step by Step Solution
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