A portfolio manager summarizes the input from the macro and micro forecasters in the following table: Micro Forecasts Ma
Posted: Fri Jul 01, 2022 7:42 am
A portfolio manager summarizes the input from the macro andmicro forecasters in the following table:
Micro Forecasts
Macro Forecasts
a. Calculate expected excess returns, alphavalues, and residual variances for thesestocks. (Negative values should be indicated by aminus sign. Do not round intermediatecalculations. Round "Alpha values" to 1decimal place.)b. Compute the proportion in the activeportfolio and the passive index. (Negative valuesshould be indicated by a minus sign. Do not round intermediatecalculations. Enter your answer as decimals rounded to 4places.)c. What is the Sharpe ratio for the optimalportfolio? (Do not round intermediate calculations.Enter your answer as decimals rounded to 4 places.)d. By how much did the position in the activeportfolio improve the Sharpe ratio compared to a purely passiveindex strategy? (Do not round intermediatecalculations. Enter your answer as decimals rounded to 4places.)e. What should be the exact makeup of thecomplete portfolio (including the risk-free asset) for an investorwith a coefficient of risk aversion of 3.0? (Do notround intermediate calculations. Round youranswers to 2 decimal places.)
Micro Forecasts
Macro Forecasts
a. Calculate expected excess returns, alphavalues, and residual variances for thesestocks. (Negative values should be indicated by aminus sign. Do not round intermediatecalculations. Round "Alpha values" to 1decimal place.)b. Compute the proportion in the activeportfolio and the passive index. (Negative valuesshould be indicated by a minus sign. Do not round intermediatecalculations. Enter your answer as decimals rounded to 4places.)c. What is the Sharpe ratio for the optimalportfolio? (Do not round intermediate calculations.Enter your answer as decimals rounded to 4 places.)d. By how much did the position in the activeportfolio improve the Sharpe ratio compared to a purely passiveindex strategy? (Do not round intermediatecalculations. Enter your answer as decimals rounded to 4places.)e. What should be the exact makeup of thecomplete portfolio (including the risk-free asset) for an investorwith a coefficient of risk aversion of 3.0? (Do notround intermediate calculations. Round youranswers to 2 decimal places.)