143 fin3-q.docx - Please email [email protected] for the answer to the below question You can also email us for help on any of your

143 fin3-q.docx - Please email...

This preview shows page 1 - 2 out of 2 pages.

Please email [email protected] for the answer to the below question. You can also email us for help on any of your assignments, testbanks etc. Question 1 The spreadsheet Quiz_Q1 has monthly ( end of month ) data for an investment fund. The second column has the cash flows from clients. Assume such cash flows occur just before the end of each month . Note the fund is created on Dec 31 2011 with a cash inflow of 10,000. The last column has a Total Return Index for the Russell 3000. a. What is the dollar-weighted average return of the fund? (monthly and annualized) b. What is the time-weighted average return of the fund? (monthly and annualized) c. Which one, a) or b), more accurately measures the performance of fund managers ? Why? d. What is the Sharpe Ratio of fund (monthly and annualized)? e. What is the CAPM alpha of the fund (monthly and annualized). Assume the risk-free rate is equal to zero throughout the entire period, and that the Russell 3000 index is the Market Portfolio. f. What is the Information Ratio of the fund? (Monthly and annualized). Assume the Russell 3000 is
Image of page 1

Subscribe to view the full document.

Image of page 2

Unformatted text preview: the benchmark. g. What is the Maximum Draw Down of the fund? h. Are fund managers doing a good job? Please email [email protected] for the answer to the below question. You can also email us for help on any of your assignments, testbanks etc. Question 2 1. Active portfolio management presupposes market inefficiency. a. Explain why, as a matter of pure logic, stock markets cannot be fully efficient. b. Describe two real world situations in which stock prices were clearly wrong. c. What are the two complementary causes of stock market inefficiency? d. According to Daniel Kahneman, what is the ultimate source of behavioral biases? e. Explain why arbitrage activity is limited and therefore stock mispricing’s are not fully and instantly corrected even if real-world "sharks" spot them. f. How do Quantitative Investors go about trying to exploit stock market inefficiency? g. What are reasonable expectations for Quantitative Investing?...
View Full Document

  • Fall '17

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern

Ask Expert Tutors You can ask You can ask ( soon) You can ask (will expire )
Answers in as fast as 15 minutes