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RiskandReturn:PastandPrologue
1.The1%VaRwillbelessthan-30%.Aspercentileorprobabilityofareturndeclinessodoesthemagnitudeofthatreturn.
Thus,a1percentileprobabilitywillproduceasmallerVaRthana5percentileprobability.
2.Thegeometricreturnrepresentsacompoundinggrowthnumberandwillartificiallyinflatetheannualperformanceofthe
portfolio.
3.No.Sinceallitemsarepresentedinnominalfigures,theinputshouldalsousenominaldata.
4.Decrease.Typically,standarddeviationexceedsreturn.Thus,areductionof4%ineachwillartificiallydecreasethereturn
perunitofrisk.Toreturntotheproperriskreturnrelationshiptheportfoliowillneedtodecreasetheamountofriskfree
investments.
5.E(r)=[0.3?44%]+[0.4?14%]+[0.3?(–16%)]=14%
2=[0.3?(44–14)2]+[0.4?(14–14)2]+[0.3?(–16–14)2]=540σ=23.24%
Themeanisunchanged,butthestandarddeviationhasincreased.
6.
a.Theholdingperiodreturnsforthethreescenariosare:Boom:
(50–40+2)/40=0.30=30.00%
Normal:(43–40+1)/40=0.10=10.00%Recession:(34–40+0.50)/40=–0.1375=–13.75%
E(HPR)=[(1/3)?30%]+[(1/3)?10%]+[(1/3)?(–13.75%)]=8.75%σ2(HPR)=[(1/3)?(30–8.75)2]+[(1/3)?(10–8.75)2]+
[(1/3)?(–13.75–8.75)2]
=319.79
σ=79.319=17.88%
b.E(r)=(0.5?8.75%)+(0.5?4%)=6.375%
σ=0.5?17.88%=8.94%
7.
a.Time-weightedaveragereturnsarebasedonyear-by-yearratesofreturn.
YearReturn=[(capitalgains+dividend)/price]
2007-2008(110–100+4)/100=14.00%
2008-2009(90–110+4)/110=–14.55%
2009-2010(95–90+4)/90=10.00%
Arithmeticmean:3.15%
Geometricmean:2.33%
b.
TimeCashflowExplanation
0-300Purchaseofthreesharesat$100pershare
1-208Purchaseoftwosharesat$110,
plusdividendincomeonthreesharesheld
plussaleofoneshareat$90
3396Dividendsonfourshares,
plussaleoffourshar
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