Question 11

4pts

Provide theJapaneseinvestor with theinterpretationof theSharpe's Performance index, using the resultsbelow.

Table 1.SPI Performance

Variable HPR StdDev SPI

fb#1 0.129106 0.045752 2.82187

fb#2 0.010478 2.8219 0.00371

TheSPIoffb#1,implies that:

a)fb#1 has higher return per unit of risk

b)fb#1 has higher risk per unit of return

c)fb#1 has a higher return that FPb#2

d)fb#1 has increased in value

e)fx#1 has appreciated

f)fb#2 has lower systematic risk

g)fb#1 has lower overall risk relative to the return

Question 12

Aforeign portfoliohasa)______% invested in theforeign assetandb)____%invested in theforeign exchange.

SYSTEMATIC RISK

FP#1&

FP#2

Table 2.Interest Rates

LIBOR 1.73%

Japan 1.48%

US T-bill 1.24%

Malaysia 3.88%

Question 13

Thebetaof theforeign bondfor theJapaneseinvestor,fb#2, is given in the table below. Identify the independent

[ Select ]

JPY FX Index

MYR FX Index

ROPC for fb

ROPC for JPY/MYR

jtROPC for FM#2

JPY Bond Index

ROPC for MYR/JPY

MYR Bond Index

jtROPC for FP#2 variable and dependent

[ Select ]

ROPC for fb

jtROPC for FP#2

MYR Bond Index

ROPC for JPY/MYR

JPY Bond Index

jtROPC for FM#2

JPY FX Index

MYR FX Index

ROPC for MYR/JPY variable that resulted in the solution.

Table 3.Foreign Bond,fb#2

Coefficient Standard Error LCL

Alpha 0.00906 0.00325 0.00109

Betafb#2 -0.29773 0.16108 -0.69187

Question 14

Thebetaof thefx#1for theMalaysianinvestor,is given in the table below.Identify theindependentvariable,X

[ Select ]

MYR FX Index

MYR Bond Index

ROPC for JPY/MYR

jtROPC for FM#2

JPY FX Index

ROPC for fb#2

jtROPC for FP#2

JPY Bond Index

ROPC for MYR/JPY , anddependent variable,Y

[ Select ]

ROPC for fb#2

jtROPC for FP#2

jtROPC for FM#2

ROPC for MYR/JPY

JPY Bond Index

MYR Bond Index

JPY FX Index

ROPC for JPY/MYR

MYR FX Index that resulted in the solution.

Table 4.FX#1Beta

Coefficient Standard Error LCL

Alpha 0.00332 0.01744 -0.03937

Betafx#1 4.55221 4.68013 -6.89966

Question 15

TheMYR FX indexindicates that the MYR hasappreciatedby1.82%against other currencies while theJPY FX indexindicates adepreciationof2.125%, this indicates:

a)A __________ (gainorloss) on the foreign currency investment, of:

b)_________%.

Table 5.FX#2Beta

Coefficient Standard Error LCL

Alpha -0.00183 0.01688 -0.04314

Betafx#2 0.58174 0.60892 -0.90822

Table 12.1 Investor Positions and Trade Information FPl-'l: On 15Sep a Malaysian investor buys the 2039 3.5 Apr 15 Japanese government T 2 Bond. Fill-\"2: On 15-Sep a Japanese Investor buys the 2039 3.5 Apr 15 Malaysian government T Bond. 3 4 Curren 5 III-SE1: PurChEIEE 3.125 913.5315 96.13055 95.31 JPY USU I i\" l-H'': Sale 3.153? 102.3525 102.9545 101.33 JF'YJ'USD a Foreign Poroioll Bond Vieid Ringgit {MYR} 9 I 15-55: : Purchase 96.51342 95.6965 r .2315 MY ' USE! .10 10Hour: Sal_ 152.2525 152.9545 .2555 MWUSD 11