投资学第九章教案.pptVIP

19 a. A mutual fund with beta of 0.8 has an expected rate of return of 14%. If rf 5%, and you expect the rate of return on the market portfolio to be 15%, should you invest in this fund?What is the fund’s alpha? b. What passive portfolio comprised of a market-index portfolio and a money market account would have the same beta as the fund? Show that the difference between the expected rate of return on this passive portfolio and that of the fund equals the alpha from part (a). a. E(rP) =rf+ β [E(rM)- rf] = 5%+0.8(15%?5%)= 13% ? = 14%?13%=1% You should invest in this fund because alpha is positive. b. The passive portfolio with the same beta as the fund should be invested 80% in the market-index portfolio and 20% in the money market account. For this portfolio: E(rP) = (0.8 × 15%) + (0.2 × 5%) = 13% 14% ? 13% = 1% = ? 22、Karen Kay, a portfolio manager at Collins Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research department has developed the information shown in the following exhibit. a. Calculate expected return and alpha for each stock. b. Identify and justify which stock would be more appropriate for an investor who wants to i. add this stock to a well-diversified equity portfolio. ii. hold this stock as a single-stock portfolio. B、i. Kay should recommend Stock X because of its positive alpha, compared to Stock Y, which has a negative alpha. In graphical terms, the expected return/risk profile for Stock X plots above the security market line (SML), while the profile for Stock Y plots below the SML. Also, depending on the individual risk preferences of Kay’s clients, the lower beta for Stock X may have a beneficial effect on overall portfolio risk. ii. Kay should recommend Stock Y because it has higher forecasted return and lower standard deviation than Stock X. The respective Sharpe ratios for Stocks X and Y and the market index are: Stock X: (14% ? 5%)/36% = 0.25 Stock Y: