question - Consider historical data showing that the...

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Consider historical data showing that the average annual rate of return on the S&P 500 portfolio over the past 80 years has averaged roughly 8% more than the Treasury bill return and that the S&P 500 standard deviation has been about 20% per year. Assume these values are representative of investors’ expectations for future performance and that the current T- bill rate is 5%. Calculate the expected return and variance of portfolios invested in T-bills and the S&P 500 index with weights given below (Do not round intermediate calculations and round your final answers to 4 decimal places. Enter your answers as numbers not in percentage. Leave no cells blank - be certain to enter "0" wherever required) : W Bills W Index Expected return Variance 0.0 1.0 0.2 0.8 0.4 0.6 0.6 0.4 0.8 0.2 1.0 0.0 Which of the following statements is true? With a fixed risk-free rate, doubling the expected return and standard deviation of the risky portfolio will double the Sharpe ratio. Holding constant the risk premium of the risky portfolio, a higher risk-free rate will increase the Sharpe ratio of investments with a positive allocation to the risky asset. A lower allocation to the risky portfolio reduces the Sharpe (reward-to-volatility) ratio. The higher the borrowing rate, the lower the Sharpe ratios of levered portfolios. Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%. Your client chooses to invest 70% of his portfolio in your fund and 30% in a T-bill money market fund. What is the reward-to-volatility ratio ( S ) of your risky portfolio and your client's portfolio? (Round your answers to 4 decimal places.) Your reward-to-volatility ratio Client's reward-to-volatility ratio Assume that you manage a risky portfolio with an expected rate of return of 18% and a standard deviation of 28%. The T-bill rate is 8%.
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question - Consider historical data showing that the...

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