Question 1

The contribution of selection within markets to Wiseguys total excess return was

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Question 2

The contribution of asset allocation across markets to the total excess return was

Accepted Answer

Asset allocation across markets contributed 4% to the total excess return. This implies that diversification across different markets played a significant role in generating returns and reducing risk in the portfolio. It also reinforces the importance of having a well-diversified portfolio across various asset classes and regions.

Question 3

Discuss the relationship between hedging demands,the capital asset pricing model,and arbitrage pricing theory.

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Question 4

Cross-hedging

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...

Question 5

A fund places 40% of its money in an active portfolio and 60% in a market index.If the return on the market index is 16% and the return on the active portfolio is 18%,the return on the entire fund is _________.

Accepted Answer

To find the return on the entire fund, we need to compute a weighted average of the returns on the active portfolio and the market index, with weights of 40% and 60%, respectively:

Return on entire fund = 0.4 × 18% + 0.6 × 16%

Return on entire fund = 7.2% + 9.6%

Return on entire fund = 16.8%

Therefore, the answer is B) 16.8%.

Question 6

The total excess return on the Wiseguys managed portfolio was _________.

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Question 7

Describe how one might hedge against systematic risk.

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Question 8

You have a record of an analyst's past forecasts of alpha.Describe how you would use this information within the context of the Treynor-Black model to determine the forecasting ability of the analyst.

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Question 9

Discuss the Treynor-Black model.

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Question 10

Discuss the problem associated with hedging interest rate risk.What is cross-hedging? Is cross-hedging of any value? Explain.

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Quiz 21: Investors and the Investment Process