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ADM3352 - Final (Fall 2008)

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You are on page 1of 10

You have $10,000 to invest for one period (one year). You can

invest in a Treasury bill to earn 4% per year. You can also

invest in an T! (e"chan#e traded fund) that traces the

$%& 500 inde". You can buy any fraction of the T!.

'ssu(e that the T! )ill have )ith t)o possible outco(es at the end of the year* it )ill be )orth $150 if the state of

econo(y is #ood+ it )ill be )orth $100 if the state of econo(y is bad. ,ividends on the T! can be i#nored. The

probabilities of the #ood and bad states are 0.- and 0.., respectively.

(1) (/ points) 0hat is the e"pected value of the T! at the year end1

(/) (/ points) 0hat is the standard deviation of the T!1

(-) (- points) 0hat is the fair (ar2et value of the T! if it i(plies 11% ris2 pre(iu( per year1

(4) (- points) 3f you re4uire 5% e"pected return on your co(plete portfolio, ho) should you allocate bet)een the

ris26free and the ris2y assets1

(5) (- points) 3f you re4uire an e"pected return of /0% per year, and you are allo)ed to borro) (oney at the 5%

interest rate, ho) can you achieve it (be nu(erically specific)1

(7) (/ points) !ollo)in# (5) but assu(in# that you can only borro) (oney at 7% interest rate, ho) can you achieve

it1 "plain )hether the standard deviation of your co(plete portfolio is hi#her or lo)er than that in (5).

("tra space on ne"t pa#e)

Question 2 (15 points)

8onsider the infor(ation about t)o ris2y assets and one ris26free asset*

% 1/ ) (

1

= r E , % 19 ) (

/

= r E , % 15

1

= , % /0

/

= ,

/

/ 1

(%) 70 ) , cov( = r r (i.e., 0.007), % 5 =

f

r (0.05)

You are encoura#ed to dra) relevant #raphs to help solvin# the proble(.

(1) ( 5 points) 3dentify the (ini(u( variance portfolio and find the e"pected return and standard deviation.

(/) (5 points) 3dentify the opti(al portfolio and find the e"pected return and standard deviation.

(-) (- points) 'n investor has allocated all of his )ealth in ris2y assets 1 and / )ith .5% and /5% , respectively.

:o) should you advice the investor to (a"i(i;e his e"pected return )ithout increasin# the standard deviation of

his portfolio1 <e nu(erically specific.

(4) (/ points) !ollo)in# (-), ho) should you advice the investor to (ini(i;e his standard deviation of e"pected

return )ithout decreasin# his return1 <e nu(erically specific.

Question 3 (15 points)

The ris26free interest rate is 5%, and the e"pected return of a passive e4uity portfolio is 1/% )ith standard deviation

of /0%. You )ish to establish an active sub6portfolio then co(bine it )ith the passive portfolio to for( an opti(al

portfolio. You have a total of $50,000 to invest. You )ant invest -0% in ris26free asset, and the rest in the opti(al

portfolio.

You are e"a(inin# the follo)in# three individual stoc2s*

Question Credit Mark

1 15

2 15

3 15

4 15

Multiple Choice 40

Total 100

0

$toc2 "pected =eturn <eta =esidual std. dev.

' 0./50 /.5 0..

< 0./00 1.7 0.7

8 0.150 1./ 0.5

(1) (5 points) 8alculate the )ei#hts for the active portfolio.

(/) (5 points) 8alculate the alpha, beta, and residual standard deviation of the active portfolio.

(-) (5 points) ,eter(ine the e"act allocation in dollar ter( for every asset in the co(plete portfolio.

("tra space on the ne"t pa#e)

Question 4 (15 points)

8o(pany >Y? has recently announced annual earnin#s of $/.00 per share, and paid an annual dividend of $0.50 per

share. This co(pany has a beta of 1.-. The ris2free interest rate is 5% per year, and the (ar2et ris2 pre(iu( is .%

per year. This co(pany has had a steady dividend #ro)th of 10% per year in the past. This co(pany has also

e"perienced pleasant earnin#s #ro)th in the last 5 years at /0% per year.

(a) (5 points) 3f the dividend #ro)th trend continues indefinitely, )hat is the intrinsic value per share of 8o(pany

>Y?1

(b) (10 points) The (ana#e(ent of 8o(pany >Y? has co((unicated )ith shareholders that the earnin#s #ro)th of

/0% per year in the last 5 years is lar#ely attributable to the s(all dividend payout ratio. The (ana#e(ent predicts

that the /0% earnin#s #ro)th )ill continue for the ne"t 5 years )hile (aintainin# the current level of dividend

#ro)th. $tartin# at year 7, the co(pany can afford to increase the dividend payoff ratio to 50% and (aintain the

dividend #ro)th at 10% per year thereafter. <ased on this co((unication, )hat is the intrinsic value per share of

8o(pany >Y?1

Part II: 40 Multiple Choice Questions, 1 point each

1. You sold '<8 stoc2 short at $90 per share. Your losses could be (ini(i;ed by placin# a @@@@@@@@@@*

') li(it6sell order

<) li(it6buy order

8) stop6buy order

,) day6order

1

) none of the above.

/. $hares for short transactions

') are usually borro)ed fro( other bro2ers.

<) are typically shares held by the short sellerAs bro2er in street na(e.

8) are borro)ed fro( co((ercial ban2s.

,) b and c.

) none of the above.

-. The investment horion is*

') the investorAs e"pected a#e at death.

<) the startin# date for establishin# invest(ent constraints.

8) based on the investorAs ris2 tolerance.

,) the date at )hich the portfolio is e"pected to be fully or partially li4uidated.

) none of the above.

4. !i"uidit# is*

') the ease )ith )hich an asset can be sold.

<) the ability to sell an asset for a fair price.

8) the de#ree of inflation protection an asset provides.

,) all of the above.

) both a and $.

5. The holdin# period return (:&=) on a share of stoc2 is e4ual to

') the capital #ain yield over the period plus the inflation rate.

<) the capital #ain yield over the period plus the dividend yield.

8) the current yield plus the dividend yield.

,) the dividend yield plus the ris2 pre(iu(.

) the chan#e in stoc2 price

7. :istorical records re#ardin# return on stoc2s, bonds, and Treasury bills bet)een 155. and /001 sho) that

') stoc2s offered investors #reater rates of return than bonds and bills.

<) stoc2 returns )ere less volatile than those of bonds and bills.

8) bonds offered investors #reater rates of return than stoc2s and bills.

,) bills outperfor(ed stoc2s and bonds.

) treasury bills al)ays offered a rate of return #reater than inflation

.. lias is a ris26averse investor. ,avid is a less ris26averse investor than lias. Therefore,

') for the sa(e ris2, ,avid re4uires a hi#her rate of return than lias.

<) for the sa(e return, lias tolerates hi#her ris2 than ,avid.

8) for the sa(e ris2, lias re4uires a lo)er rate of return than ,avid.

,) for the sa(e return, ,avid tolerates hi#her ris2 than lias.

) cannot be deter(ined.

9. The e"act indifference curves of different investors

') cannot be 2no)n )ith perfect certainty.

<) can be calculated precisely )ith the use of advanced calculus.

8) althou#h not 2no)n )ith perfect certainty, do allo) the advisor to create (ore suitable portfolios for the

client.

,) a and c.

) none of the above.

5. 'n investor can choose to invest in T6bills payin# 5% or a ris2y portfolio )ith end6of6year cash flo) of

$1-/,000. 3f the investor re4uires a ris2 pre(iu( of 5%, )hat )ould she be )illin# to pay for the ris2y

portfolio1

') $100,000

<) $109,000

8) $1/0,000

,) $145,000

) $14.,000

10. The standard deviation of a portfolio of assets

') increases as the nu(ber of assets in the portfolio increases.

2

<) increases as the )ei#ht in any particular asset increases.

8) increases as the standard deviations of the assets chan#e throu#h ti(e.

,) increases as the assetsA e"pected returns increase.

) increases as the assetsA covariances increase.

11. 0hen )ealth is shifted fro( the ris2y portfolio to the ris26free asset, )hat happens to the relative

proportions of the various ris2y assets )ithin the ris2y portfolio1

') They all decrease.

<) $o(e increase and so(e decrease.

8) They all increase.

,) They are not chan#ed.

) The ans)er depends on the specific circu(stances.

1/. The 8apital Bar2et Cine

3) is a special case of the 8apital 'llocation Cine

33) represents the opportunity set of a passive invest(ent strate#y

333) has the one6(onth T6<ill rate as its intercept

3D) uses a broad inde" of co((on stoc2s as its ris2y portfolio

') 3, 333, and 3D

<) 33, 333, and 3D

8) 333 and 3D

,) 3, 33, and 333

) 3, 33, 333, and 3D

1-. Ether thin#s e4ual, diversification is (ost effective )hen

') securitiesA returns are uncorrelated.

<) securitiesA returns are positively correlated.

8) securitiesA returns are hi#h.

,) securitiesA returns are ne#atively correlated.

) $ and c.

14. The efficient frontier of ris2y assets is

') the portion of the invest(ent opportunity set that lies above the #lobal (ini(u( variance portfolio.

<) the portion of the invest(ent opportunity set that represents the hi#hest standard deviations.

8) the portion of the invest(ent opportunity set )hich includes the portfolios )ith the lo)est standard

deviation.

,) the set of portfolios that have ;ero standard deviation.

) both a and $ are true.

15. The 8apital 'llocation Cine provided by a ris26free security and F ris2y securities is

') the line that connects the ris26free rate and the #lobal (ini(u(6variance portfolio of the ris2y securities.

<) the line that connects the ris26free rate and the portfolio of the ris2y securities that has the hi#hest e"pected

return on the efficient frontier.

8) the line tan#ent to the efficient frontier of ris2y securities dra)n fro( the ris26free rate.

,) the hori;ontal line dra)n fro( the ris26free rate.

) none of the above.

17. 0hich state(ent about portfolio diversification is correct1

') &roper diversification can reduce or eli(inate syste(atic ris2.

<) The ris26reducin# benefits of diversification do not occur (eanin#fully until at least 50670 individual

securities have been purchased.

8) <ecause diversification reduces a portfolioAs total ris2, it necessarily reduces the portfolioAs e"pected return.

,) Typically, as (ore securities are added to a portfolio, total ris2 )ould be e"pected to decrease at a

decreasin# rate.

) Fone of the above state(ents are correct.

1.. The individual investorAs opti(al portfolio is desi#nated by*

') The point of tan#ency )ith the indifference curve and the capital allocation line.

<) The point of hi#hest re)ard to variability ratio in the opportunity set.

3

8) The point of tan#ency )ith the opportunity set and the capital allocation line.

,) The point of the hi#hest re)ard to variability ratio in the indifference curve.

) Fone of the above.

19. (pirical results re#ardin# betas esti(ated fro( historical data indicate that

') betas are constant over ti(e.

<) betas of all securities are al)ays #reater than one.

8) betas are al)ays near ;ero.

,) betas appear to re#ress to)ard one over ti(e.

) betas are al)ays positive.

15. The security (ar2et line ($BC)

') can be portrayed #raphically as the e"pected return6beta relationship.

<) can be portrayed #raphically as the e"pected return6standard deviation of (ar2et returns relationship.

8) provides a bench(ar2 for evaluation of invest(ent perfor(ance.

,) a and c.

) $ and c.

/0. 'n underpriced security )ill plot

') on the $ecurity Bar2et Cine.

<) belo) the $ecurity Bar2et Cine.

8) above the $ecurity Bar2et Cine.

,) either above or belo) the $ecurity Bar2et Cine dependin# on its covariance )ith the (ar2et.

) either above or belo) the $ecurity Bar2et Cine dependin# on its standard deviation.

/1. The $ecurity 8haracteristic Cine ($8C)

') plots the e"cess return on a security as a function of the e"cess return on the (ar2et.

<) allo)s one to esti(ate the beta of the security.

8) allo)s one to esti(ate the alpha of the security.

,) all of the above.

) none of the above.

//. 0hich of the follo)in# factors )as used by !a(a and !rench in their (ulti6factor (odel1

') =eturn on the (ar2et inde"

<) "cess return of s(all stoc2s over lar#e stoc2s

8) "cess return of hi#h boo26to6(ar2et stoc2s over lo) boo26to6(ar2et stoc2s

,) 'll of the above factors )ere included in their (odel.

) Fone of the above factors )ere included in their (odel.

/-. The '&T differs fro( the 8'&B because the '&T @@@@@@@@@.

') places (ore e(phasis on (ar2et ris2

<) (ini(i;es the i(portance of diversification

8) reco#ni;es (ultiple unsyste(atic ris2 factors

,% reco&nies multiple s#stematic risk 'actors

) none of the above

/4. <asu (15.., 159-) found that fir(s )ith lo) &G ratios

') earned hi#her avera#e returns than fir(s )ith hi#h &G ratios

<) earned the sa(e avera#e returns as fir(s )ith hi#h &G ratios

8) earned lo)er avera#e returns than fir(s )ith hi#h &G ratios

,) had hi#her dividend yields that fir(s )ith hi#h &G ratios

) none of the above.

/5. &roponents of the B: thin2 technical analysts

') should focus on relative stren#th

<) should focus on resistance levels

8) should focus on support levels

,) should focus on financial state(ents

) are )astin# their ti(e

4

/7. The )ea2 for( of the efficient (ar2et hypothesis contradicts

') technical analysis, but supports funda(ental analysis as valid

<) funda(ental analysis, but supports technical analysis as valid

8) both funda(ental analysis and technical analysis

,) technical analysis, but is silent on the possibility of successful funda(ental analysis.

) none of the above.

/.. 0hen Baurice Hendall first e"a(ined stoc2 price patterns in 155-, he found that

') certain patterns tended to repeat )ithin the business cycle.

<) there )ere no predictable patterns in stoc2 prices.

8) stoc2s )hose prices had increased consistently for one )ee2 tended to have a net decrease the follo)in#

)ee2.

,) stoc2s )hose prices had increased consistently for one )ee2 tended to have a net increase the follo)in#

)ee2.

) the direction of chan#e in stoc2 prices )as unpredictable, but the a(ount of chan#e follo)ed a distinct

pattern.

/9. 'ccordin# to =oll, the only testable hypothesis associated )ith the 8'&B is

') the nu(ber of e" post (ean6variance efficient portfolios.

<) The e"act co(position of the (ar2et portfolio.

8) )hether the (ar2et portfolio is (ean6variance efficient.

,) the $BC relationship.

) none of the above.

/5. $uppose t)o portfolios have the sa(e avera#e return, the sa(e standard deviation of returns, but portfolio

' has a hi#her beta than portfolio <. 'ccordin# to the $harpe (easure, the perfor(ance of portfolio '

@@@@@@@@@@.

') is better than the perfor(ance of portfolio <

<) is the sa(e as the perfor(ance of portfolio <

8) is poorer than the perfor(ance of portfolio <

,) cannot be (easured as there is no data on the alpha of the portfolio

) none of the above are true.

-0. You )ant to evaluate three (utual funds usin# the appraisal ratio (easure for perfor(ance evaluation. The

ris26free return durin# the sa(ple period is 7%, and the avera#e return on the (ar2et portfolio is 15%. The avera#e

returns, residual standard deviations, and betas for the three funds are #iven belo).

'vera#e =eturn =esidual $tandard ,eviation <eta

!und ' /0% 4.00% 0.9

!und < /1% 1./5% 1.0

!und 8 /-% 1./0% 1./

The fund )ith the hi#hest appraisal ratio (easure is @@@@@@@@@@.

') !und '

<) !und <

8) !und 8

,) !unds ' and < are tied for hi#hest

) !unds ' and 8 are tied for hi#hest

-1. You )ant to evaluate three (utual funds usin# the $harpe (easure for perfor(ance evaluation. The ris26

free return durin# the sa(ple period is 7%. The avera#e returns, standard deviations and betas for the three funds are

#iven belo), as is the data for the $%& 500 inde".

'vera#e =eturn $tandard. ,eviation <eta

!und ' /4% -0% 1.5

!und < 1/% 10% 0.5

!und 8 //% /0% 1.0

$%& 500 19% 17% 1.0

The fund )ith the hi#hest $harpe (easure is @@@@@@@@@@.

') !und '

<) !und <

8) !und 8

,) !unds ' and < are tied for hi#hest

5

) !unds ' and 8 are tied for hi#hest

-/. You )ant to evaluate three (utual funds usin# the Treynor (easure for perfor(ance evaluation. The ris26

free return durin# the sa(ple period is 7%. The avera#e returns, standard deviations, and betas for the three funds

are #iven belo), in addition to infor(ation re#ardin# the $%& 500 inde".

'vera#e =eturn $tandard. ,eviation <eta

!und ' 1-% 10% 0.5

!und < 15% /0% 1.0

!und 8 /5% -0% 1.5

$%& 500 19% 17% 1.0

The fund )ith the hi#hest Treynor (easure is @@@@@@@@@@.

') !und '

<) !und <

8) !und 8

,) !unds ' and < are tied for hi#hest

) !unds ' and 8 are tied for hi#hest

--. You )ant to evaluate three (utual funds usin# the Iensen (easure for perfor(ance evaluation. The

ris26free return durin# the sa(ple period is 7%, and the avera#e return on the (ar2et portfolio is 19%.

The avera#e returns, standard deviations, and betas for the three funds are #iven belo).

-4.

'vera#e =eturn $tandard. ,eviation <eta

!und ' 1..7% 10% 1./

!und < 1..5% /0% 1.0

!und 8 1..4% -0% 0.9

The fund )ith the hi#hest Iensen (easure is @@@@@@@@@@.

') !und '

<) !und <

8) !und 8

,) !unds ' and < are tied for hi#hest

) !unds ' and 8 are tied for hi#hest

-4. Bost professionally (ana#ed e4uity funds #enerally @@@@@@@@@@.

') outperfor( the $%& 500 inde" on both ra) and ris26adJusted return (easures

<) underperfor( the $%& 500 inde" on both ra) and ris26adJusted return (easures

8) outperfor( the $%& 500 inde" on ra) return (easures and underperfor( the $%& 500 inde" on ris26

adJusted return (easures

,) underperfor( the $%& 500 inde" on ra) return (easures and outperfor( the $%& 500 inde" on ris26

adJusted return (easures

) (atch the perfor(ance of the $%& 500 inde" on both ra) and ris26adJusted return (easures

-5. Ene property of a ris2y portfolio that co(bines an active portfolio of (ispriced securities )ith a (ar2et

portfolio is that, )hen opti(i;ed, its s4uared $harpe (easure increases by the s4uare of the active

portfolioAs

') $harpe ratio.

<) appraisal ratio.

8) alpha.

,) Treynor (easure.

) none of the above.

-7. ' purely passive strate#y

') uses onl# inde( 'unds)

<) uses )ei#hts that chan#e in response to (ar2et conditions.

8) uses only ris26free assets

,) is best if there is KnoiseL in reali;ed returns.

) is useless if abnor(al returns are available.

-.. To deter(ine the opti(al ris2y portfolio in the Treynor6<lac2 Bodel, (acroecono(ic forecasts are used for

the @@@@@@@@@ and co(posite forecasts are used for the @@@@@@@@@@.

') passive inde( port'olio* active port'olio

6

<) active portfolio, passive inde" portfolio

8) e"pected return+ standard deviation

,) e"pected return + beta coefficient

) alpha coefficient+ beta coefficient

+e'erence case 'or Questions 3,-40:

3n a particular year, <ullish Butual !und earned a return of 1% by (a2in# the follo)in# invest(ents in asset classes*

0ei#ht =eturn

<onds /0% 5%

$toc2s 90% 0%

The return on a bo#ey portfolio )as /%, calculated fro( the follo)in# infor(ation.

0ei#ht =eturn

<onds($cotia 8apital 3nde") 50% 5%

$toc2s(T$ -00 3nde") 50% 61%

-9. The total e"cess return on the <ullish !undAs (ana#ed portfolio )as @@@@@@@@@@.

') 61.90%

<) 61.00%

8) 0.90%

,) 1.00%

) none of the above

-5. The contribution of asset allocation across (ar2ets to the <ullish !undAs total e"cess return )as

@@@@@@@@@@.

') 61.90%

<) 61.00%

8) 0.90%

,) 1.00%

) none of the above

40. The contribution of selection )ithin (ar2ets to the <ullish !undAs total e"cess return )as @@@@@@@@@@.

') 61.90%

<) 61.00%

8) 0.90%

,) 1.00%

) none of the above

.ormulas

T)o6$ta#e (odel*

n

n

n

t

t

t

k

P

k

D

P

) 1 ( ) 1 (

1

+

+

+

=

=

,

The re4uired return is deter(ined by the $ecurity Bar2et Cine* ) (

f f

R R R k + = .

3f dividend is paid out as a fi"ed portion of the earnin#s, then

,ividend payout ratio M 1 N b M ,ividend per share G arnin#s per share+

&lo)bac2 ratio b M =etained arnin#s per share G arnin#s per share.

stoc2 of Dalue

loan 6 'sset of Dalue Bar2et

stoc2 of Dalue

4uity

Bar#in = = ,

applicable for both buyin# on (ar#in and short sales.

7

Bar2et value of assets (inus liabilities

Fet asset valueM

$hares outstandin#

1 0

0

F'D F'D 3nco(e and capital#ain distributions

=ate of returnM

F'D

+

"pectation of x*

=

=

n

i

i i

x p x E

1

) ( , Dariance of x*

=

= =

n

i

i i

x E x p x x Var

1

/ /

)) ( ( ) ( ) (

$tandard deviation of x* ) ( ) ( x Var x =

"pected holdin# period return*

t

t t t t

t

P

D P P E

r E

+

=

+

) (

) (

1

8apital 'llocation Cine, i.e., the e"pected return and standard deviation )ith (16y)% in ris26free asset and y% in a

ris2y asset* ) ( ) 1 ( ) ( r E y r y r E

F C

+ = , and ) (r y

C

= .

8ovariance bet)een

1

r and

/

r * )O ( P )O ( P ) , cov(

/ /

1

1 1 1/ / 1

r E r r E r p r r

i

n

i

i i

= =

=

8orrelation coefficient

) ( ) (

) , cov(

/ 1

/ 1

1/

r r

r r

=

<eta of individual asset e"pected return )ith respect to e"pected (ar2et return is defined as

) var(

) , cov(

m

m j

j

r

r r

=

$ecurity (ar2et line* O ) ( P ) (

f m j f j

r r E r r E + =

$in#le 3nde" =e#ression Bodel*

j m j j j

e R R + + = , )here R refers to e"cess return.

Dariance deco(position* ) (

/ / / /

j m j j

e + =

Qoodness of fit (easure*

/

/

/

/

) (

1 s4uare

j

j

j

m j

e

R

= =

Port'olio mathematics /ith t/o risk# assets: 0 1

/ 1

= + w w %

"pected return on ris2y portfolio* ) ( ) ( ) (

/ / 1 1

r E w r E w r E

p

+ =

Dariance of portfolio e"pected return* ) , cov( /

/ 1 / 1

/

/

/

/

/

1

/

1

/

r r w w w w

p

+ + =

The t)o for(ulas above can be reduced to the special case )ith one ris26free asset and one ris2y asset, e.#., set asset

1 as ris26free, 0

1

= , 0 ) , cov(

/ 1

= r r .

$olution to (ini(u( variance portfolio*

) , cov( /

) , cov(

/ 1

/

/

/

1

/ 1

/

/ (in

1

r r

r r

w

+

) , cov( O ) ( ) ( P O ) ( P O ) ( P

) , cov( O ) ( P O ) ( P

/ 1 / 1

/

1 /

/

/ 1

/ 1 /

/

/ 1 R

1

r r r r E r r E r r E r r E

r r r r E r r E

w

f f f f

f f

+ +

=

Tre#nor-1lack model:

$4uared $harpe Beasure*

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