You manage a $100m portfolio long/short fund. You identify undervalued and overvalued stocks and construct the following
Fantastic news! We've Found the answer you've been seeking!
Question:
You manage a $100m portfolio long/short fund. You identify undervalued and overvalued stocks and construct the following portfolios: Portfolio Expected Return Standard Deviation Beta A 12% 20% 1.2 B 3% 15% 0.9 Use the following information Correlation between A and B Expected market return Risk-free rate Short rebate .8 9% 2% 1% Your fund buys $100m of portfolio A and short-sells $100m of portfolio B. i. What is the beta of the fund? ii. What are expected alpha and Sharpe ratio of fund?
Related Book For
Intermediate Algebra
ISBN: 9780134895987
13th Edition
Authors: Margaret Lial, John Hornsby, Terry McGinnis
Posted Date: