QUESTION 11. The spreadsheet Week1_Quiz_Q1 has monthly (end of month) data for an investment fund. The second column has the cash flows from clients. Assume such cash flows occur just before the end of each month. Note the fund is created on Dec 31 2011 with a cash inflow of 10,000. The last column has a Total Return Index for the Russell 3000.a. What is the dollar-weighted average return of the fund? (monthly and annualized)b. What is the time-weighted average return of the fund? (monthly and annualized)c. Which one, a) or b), more accurately measures the performance of fund managers? Why?d. What is the Sharpe Ratio of fund (monthly and annualized)?e. What is the CAPM alpha of the fund (monthly and annualized). Assume the risk-free rate is equal to zero throughout the entire period, and that the Russell 3000 index is the Market Portfolio.f. What is the Information Ratio of the fund? (monthly and annualized). Assume the Russell 3000 is the benchmark.g. What is the Maximum Draw Down of the fund?h. Are fund managers doing a good job?QUESTION 21. Active portfolio management presupposes market inefficiency.a. Explain why, as a matter of pure logic, stock markets cannot be fully efficient.b. Describe two real world situations in which stock prices were clearly wrong.c. What are the two complementary causes of stock market inefficiency?d. According to Daniel Kahneman, what is the ultimate source of behavioral biases?e. Explain why arbitrage activity is limited and therefore stock mispricings are not fully and instantly corrected even if real-world “sharks” spot them.f. How do Quantitative Investors go about trying to exploit stock market inefficiency?g. What are reasonable expectations for Quantitative Investing?
Delivering a high-quality product at a reasonable price is not enough anymore.
That’s why we have developed 5 beneficial guarantees that will make your experience with our service enjoyable, easy, and safe.
You have to be 100% sure of the quality of your product to give a money-back guarantee. This describes us perfectly. Make sure that this guarantee is totally transparent.Read more
Each paper is composed from scratch, according to your instructions. It is then checked by our plagiarism-detection software. There is no gap where plagiarism could squeeze in.Read more
Thanks to our free revisions, there is no way for you to be unsatisfied. We will work on your paper until you are completely happy with the result.Read more
Your email is safe, as we store it according to international data protection rules. Your bank details are secure, as we use only reliable payment systems.Read more
By sending us your money, you buy the service we provide. Check out our terms and conditions if you prefer business talks to be laid out in official language.Read more