Chapter 011 Risk and Return
... (finance.yahoo.com) for the last five years. Collect information in an Excel file.
3) Calculate monthly returns as the percentage change in the monthly prices.
4) Compute the mean monthly returns and standard deviations for the monthly returns of each
of the stocks. Compute annual statistics.
5) Cal ...
Two Ways to Calculate the Rate of Return on a Portfolio
... same amounts. Their TIME-weighted rates of return were exactly the same. But one had a gain
and the other a loss.
How then does an investor evaluate the different rates of return? Which rate of turn is right?
Which is best? Actually there is no right or wrong or best – they just have different meani ...
LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
... 10) A company’s return was 20% and that of the stock market as a whole was 15%. The standard
deviation of the portfolio was 10%, while that of the market is 5%. The risk free rate is 6%. What is
the Sharpe measure of the company’s portfolio? Comment on its performance.
P(x) - tcann
... Does the following refer to a probability distribution? If so, determine the mean and standard deviation.
Which x-values, if any, would be considered unusual? Use the 2 process.
... of the machine is $600,000 and its economic life is five years. The machine is
fully depreciated by the straight-line method and will produce 20,000 calculators
in the first year. The variable cost per unit is $20, while fixed costs are
$1,000,000. The corporate tax rate for the company is 30 percen ...
RETURN, RISK, AND THE SECURITY MARKET LINE
... To calculate the variances of the returns on our two stocks,
we first determine the squared deviations from the expected
return. We then multiply each possible squared deviation by
... c. Calculate b1, b2 and b3 for a portfolio with equal amounts invested in X, Y and
Z. What is the expected rate of return on the portfolio?
d. Suppose stock Z’s expected return is 3% higher than you calculated in part
(b). Is this an “arbitrage” profit opportunity? Explain.
Invesors turn to mobile home parks for higher returns
... Clarke, a partner in NM Apartment Advisors.
Cash-on-cash return is a technique for calculating the return on an investment
for which there is no secondary market. It equals the annual dollar income divided by
the total dollar investment, expressed as a percentage.
The area also is attractive, Frerke ...
... If the market risk premium (kM - kRF) increases, the required return on all stocks with positive betas would
increase. Therefore, statement a is false. Since the required return for all positive beta stocks will increase, the
return for Portfolio P must increase as well. Therefore, statement b is fa ...
LOYOLA COLLEGE (AUTONOMOUS), CHENNAI – 600 034
... Calculate the rate of interest using Rule of 69.
9. What is the present value of an annuity of Rs.20000 at 10% p.a. in 5 years? If a NBFC assures you
to pay Rs.70000 for the same annuity investment, would you accept the offer?
10. Pluto Ltd. would pay Rs.2.50 as dividend per share for the next year ...
1 - BrainMass
... 16. Which of the following statements is true of the relative attractiveness of the 2
proposed payment plans to the firm?
a. both should be equally attractive
b. the variable fee could be increased beyond $.25 per check and that plan
could still be preferable
c. the fixed fee plan is more attractive ...
View/Open - Pan Africa Christian University
... 2 million as capital for the project. Towards this end, he has approached the bank
manager who has advised him to open a savings account with the bank and start
depositing money every end of the month. The bank Manager has offered to pay martin a
compound interest on deposits at a rate of 12% p.a. a ...
Modified Dietz method
The modified Dietz method is a measure of the historical performance of an investment portfolio in the presence of external flows. (External flows are movements of value such as transfers of cash, securities or other instruments in or out of the portfolio, with no equal simultaneous movement of value in the opposite direction, and which are not income from the investments in the portfolio, such as interest, coupons or dividends.) To calculate the modified Dietz return, divide the gain or loss in value, net of external flows, by the average capital over the period of measurement. The result of the calculation is expressed as a percentage rate of return for the time period. The average capital weights individual cash flows by the amount of time from when those cash flows occur until the end of the period.This method has the practical advantage over Internal Rate of Return (IRR) that it does not require repeated trial and error to get a result.The cash flows used in the formula are weighted based on the time they occurred in the period. For example if they occurred in the beginning of the month they would have a higher weight than if they occurred at the end of the month. This is different from the simple Dietz method, in which the cash flows are weighted equally regardless of when they occurred during the measurement period, which works on an assumption that the flows are distributed evenly throughout the period.With the advance of technology in the past 15 years, most systems can calculate a true time-weighted return by calculating a daily return and geometrically linking in order to get a monthly, quarterly, annual or any other period return. However, the modified Dietz method remains useful for performance attribution, because it still has the advantage of allowing modified Deitz returns on assets to be combined with weights in a portfolio, calculated according to average invested capital, and the weighted average gives the modified Dietz return on the portfolio. Time weighted returns do not allow this.This method for return calculation is used in modern portfolio management. It is one of the methodologies of calculating returns recommended by the Investment Performance Council (IPC) as part of their Global Investment Performance Standards (GIPS). The GIPS standard is intended to standardize the way portfolio returns are calculated internationally.The method is named after Peter O. Dietz.