Tutorial 8
Portfolio Performance Evaluation
1.
XYZ stock price and dividend history are as follows:
Year
Beginning-of-year Price
2005
$100
2006
120
2007
90
2008
100
Dividend Paid at Year End
$4
4
4
4
An investor buys three shares of XYZ at the beginning o
Tutorial 9
Hedge Funds (Part 1)
The following is the data regarding Waterworks stock against the S&P index.
Beta
Standard Deviation of Residuals
Risk free rate
alpha
S&P index price
Contract Multiplier
0.75
0.06 (i.e. 6% montly)
0.5% per month
2%
1,500
$2
Finance Department
Portfolio Management
S12
Tutorial 7
Chapter 10: Arbitrage Pricing Theory and Multifactor Models of Risk and Return
1. Suppose that two factors have been identified for the U.S. economy: the growth rate of
industrial production, IP, and
Tutorial 6
The Capital Asset Pricing Model
Consider the following table, which includes the data of Microsoft, Apple, S&P index HPRs. In addition of Treasury
Bills rate of return during the same period:
Treasury
Bills
Date
4-Jan-10
1-Feb-10
1-Mar-10
1-Apr
Tutorial 5
Now, your portfolio manager has different possible combinations of Risky portfolio. He wants to
find the optimal weight of risky portfolio. So he can set up his complete portfolio composed of:
government T-Bills, and the optimal risky portfolio
Finance Department
Portfolio Management
S12
Tutorial 4
Chapter 7: Optimal Risky Portfolio
Your portfolio manager decided to change the composition of your risky portfolio Y,
and wants to include an additional Risky asset with Apple. Searching in the marke
Finance Department
Portfolio Management
S12
Tutorial 3
Chapter 6: Risk Aversion and Capital Allocation to Risky Assets
You are planning to invest $1,000,000 in a portfolio consistent of a Risky Asset (Apple) and
Risk-Free Asset (T-Bills).
Given the follow
Finance Department
Portfolio Management
S12
Tutorial 2
Chapter 6: Risk Aversion and Capital Allocation to Risky Assets
Using the excel file on the intranet, calculate for each stock:
1- Assign yourself a risk aversion degree (A)
2- Calculate your utility
Finance Department
Portfolio Management
S12
Tutorial 1
Chapter 5: Learning about Risk & Return
Using the excel file on the intranet, calculate for each stock:
123456-
Calculate HPR for each month
Calculate expected HPR over the period
Calculate standard d