FIN515 Quantitative Finance Assignment 01 1. Suppose you have 5-year annual data on the excess returns on a fund manager

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Fin515 Quantitative Finance Assignment 01 1 Suppose You Have 5 Year Annual Data On The Excess Returns On A Fund Manager 1 (71 KiB) Viewed 270 times

FIN515 Quantitative Finance Assignment 01 1. Suppose you have 5-year annual data on the excess returns on a fund manager's portfolio (fund ABC') and the excess returns on a market index (where risc is the return on fund ABC, r, is the risk-free rate and ry is the return on the market index): Year Excess return on fund ABC Excess return on market index 14BC1-17.1 1 14.0 16.0 2 32.0 21.7 3 11.6 21.2 16.2 S 17.4 11.0 6.0 4 What is the estimated alpha ( a ) for Fund ABC? (1 Mark) 2. Given the data in Question 1, what is the estimated beta () of Fund ABC? (1 Mark) 3- Suppose that the unbiased estimator of the standard deviation of the disturbance (s) is 5.1. What is the nearest value to the standard errors of the estimated CAPM alpha (a ) of Fund ABC from Question 1? (1.5 Mark) 4- The estimated alpha (a) and beta () of a rival fund, Fund DEF, are 2.3 and 3.1, respectively. If the expected market risk premium is 12%, what would we expect the excess return of Fund DEF to be? (1.5 Mark)