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##### Consider the following three investments. Assume that T-bills

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1. Consider the following three investments. Assume that T-bills yielded a;constant 3 percent. Calculate the risk-adjusted performance of each of;the funds, using the Sharpe measure.;Year A B C;2003 _5% _4% _6%;2004 _0 _1 _1;2005 _5 _4 _10;2006 _8 _10 _18;2007 _5 _5 _7;2. Using the data in Problem 1, calculate the risk-adjusted performance of;an equally weighted portfolio of all three funds, and plot the results in;risk/return space.;3. Using the data in Problem 1, calculate the geometric mean return for;the three funds and for the three-security, equally weighted portfolio.;Rank the investments by descending order of geometric mean. Does this;technique give you the same ranking as the Sharpe measure calculated in;Problem 1?;4. Calculate the time-weighted rate of return for the monthly account activity;shown here;Cash Flow Month Ending Value;Balance forward \$23,000;200 January 23,556;200 February 24,556;500 March 23,965;500 April 23,100;200 May 22,900;11. Consider the trade information in the table;Time Trade Price Trade Volume;11:18 23.23 15,000;11:19 23.25 1,000;11:23 23.25 5,000;11:25 23.27 2,000;11:28 23.29 5,000;11:30 23.31 5,000;11:32 23.30 3,000;11:34 23.28 2,500;11:36 23.29 1,000;11:37 23.30 2,500;11:38 23.31 4,500;11:41 23.33 7,500;11:44 23.44 25,000;11:45 23.43 4,500;11:47 23.42 5,000;11:48 23.43 7,500;11:50 23.41 10,000;Suppose a trader bought 50,000 shares of this stock at the times shown in;bold. Calculate the VWAP for these trades over this time interval and determine;whether or not there is any evidence of trading skill in these numbers

Paper#33516 | Written in 18-Jul-2015

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