BUSI 408 March 16 - compute a “beta” for each stock How...

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BUSI 408 March 16 Beta Case 15:24 CLASS OBJECTIVES     :  The purpose of this case is to study an application of  how stocks are priced.  CASE :  BETA MANAGEMENT COMPANY  (casebook) ATTACHMENT:   Beta Management.xls  ASSIGNMENT : 1.  Describe Ms. Wolfe's strategies and goals. How is she attempting to "add  value" for her clients? 2.  Estimate and compare the variability (i.e., monthly standard deviation over the  past two years) of Cal REIT and Brown with that of the Vanguard Index. Which  stock appears to be riskiest? 3.  Suppose Beta's position had been 99% of equity funds invested in Vanguard  Index and 1% in each of the individual stocks.  Estimate the resulting  portfolio  position. How does each stock affect the variability of the equity investment? How  does this relate to your answer in #2 above? 4.  Perform a regression of each stock’s monthly returns on the Index returns to 
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Unformatted text preview: compute a “beta” for each stock. How does this relate to your answer in #3 above? 5. How might the expected return of each stock relate to its riskiness? Issue : The CEO of Beta Management decide whether to invest in two stocks, Brown and CA REIT. Current : Cash+ Vanguard fund Goal : Enhance returns but reduce risk to client through market timing Stock Selection Market Timing Active Passive Active 1 2 Passive 3 4 Currently: 2 Goal: 1 1940-2002 S&P: $93 30 yr Bond: $23 T-bill: $19 Best: $274,000,000 15:24 15:24...
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This note was uploaded on 05/10/2011 for the course BUSI 408 taught by Professor Zeighamkhokher during the Spring '11 term at University of North Carolina School of the Arts.

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BUSI 408 March 16 - compute a “beta” for each stock How...

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