1.
value:
1.00 points
Consider the following information concerning three portfolios, the market portfolio, and the riskfree asset: 
Portfolio 
R_{P} 
σ_{P} 
β_{P } 

X 
15.00 
% 
31.00 
% 
1.85 
Y 
14.00 
26.00 
1.25 

Z 
8.30 
16.00 
.85 

Market 
11.20 
21.00 
1.00 

Riskfree 
4.80 
.00 
.00 


Assume that the tracking error of Portfolio X is 9.40 percent. What is the information ratio for Portfolio X?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your answer to 4 decimal places.) 
Information ratio 

2.
value:
1.00 points
DW Co. stock has an annual return mean and standard deviation of 14.5 percent and 43 percent, respectively. What is the smallest expected loss in the coming year with a probability of 16 percent?(Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.) 
Smallest expected loss 
% 
References
eBook & Resources
WorksheetLear
3.
value:
1.00 points
Your portfolio allocates equal funds to the DW Co. and Woodpecker, Inc. DW Co. stock has an annual return mean and standard deviation of 11 percent and 34 percent, respectively. Woodpecker, Inc., stock has an annual return mean and standard deviation of 22 percent and 48 percent, respectively. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smallest expected loss for your portfolio in the coming month with a probability of 5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Enter your answer as a percent rounded to 2 decimal places. Omit the “%” sign in your response.) 
Smallest expected loss 
% 
4.
value:
1.00 points
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 7 percent and 13 percent, respectively. The standard deviations of the assets are 33 percent and 41 percent, respectively. The correlation between the two assets is .49 and the riskfree rate is 5.8 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year with a probability of 2.5 percent? (Negative value should be indicated by a minus sign. Do not round intermediate calculations. Round your Sharpe ratio answer to 4 decimal places and Probability answer to 2 decimal places. Omit the “%” sign in your response.) 
Sharpe ratio 

Smallest expected loss 
% 
5.
value:
1.00 points
Consider the following information for a mutual fund, the market index, and the riskfree rate. You also know that the return correlation between the fund and the market is .97. 
Year 
Fund 
Market 
RiskFree 

2008 
–15.06 
% 
–26.5 
% 
3 
% 
2009 
25.1 
19.7 
5 

2010 
12.6 
10.0 
2 

2011 
6.6 
7.6 
4 

2012 
–1.32 
–2.2 
3 


What are the Sharpe and Treynor ratios for the fund? (Do not round intermediate calculations. Round your answers to 4 decimal places.) 
Sharpe ratio 

Treynor ratio 


References
eBook & Resources
WorksheetLearning