Question
Question 11 4pts Provide the Japanese investor with the interpretation of the Sharpe's Performance index , using the resultsbelow. Table 1.SPI Performance Variable HPR StdDev
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
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