"1. -You invest in five values, but want to evaluate the composition of its portfolio in Depending on the risk, for it has prepared the following matrix considering different proportions in your portfolio:"
|
Active
|
Beta the Active
|
Proportions of the portfolio (%)
|
|
Portfolio A
|
Portfolio B
|
|
1
|
1.30
|
10.00
|
30.00
|
|
2
|
0.70
|
30.00
|
10.00
|
|
3
|
1.25
|
10.00
|
20.00
|
|
4
|
1.10
|
10.00
|
20.00
|
|
5
|
0.90
|
40.00
|
20.00
|
|
|
100.00
|
100.00
|
a).- Calculate the Betas of portfolios A and B.
b). Compare the risk of each portfolio each other and also relative to the market, that portfolio is riskier?
"2. Assume the previous year the risk-free rate is 2% and performance market is 12%, calculate the performance of each portfolio and each value."
3. Now the annual returns for each investment in Exercise 1 are:
|
Instrument
|
Re
|
|
1
|
16.50%
|
|
2
|
12%
|
|
3
|
15%
|
|
4
|
13%
|
|
5
|
7%
|
He mentions that portfolio would you choose and why.
"4. The portfolio had the values shown in the table below. Calculate performance the four-year average and the standard deviation of your portfolio."