ACTIVIDAD 4 ¿Cómo se integra el marco conceptual de la administración de riesgos?
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ACTIVIDAD 4
¿Cómo se integra el marco conceptual de la administración de riesgos?
Por:
Martínez Cisneros Alejandro
Palma Juárez Fernanda
Portillo Meza José Arturo Tadeo
[pic 3]
México D.F. 26 de Marzo de 2015
Activated 4
Instructions: Do the following calculations according to the information given.
Question 1
Given the following investment characteristics of four different portfolios, calculate the Sharpe ratio, the Treynor ratio and the Jensen’s alpha performance for each one of them.
Portfolio | [pic 4] | [pic 5] | [pic 6] |
A | 12% | 40% | .5 |
B | 15% | 30% | .75 |
C | 20% | 22% | 1.4 |
Market | 15% | 15% | 1 |
Risk Free Asset | 5% | 0% | 0 |
Portfolio | Rp |
|
| TREYNOR | JENSEN |
A | 12% | 40% | 0.5 | 0.175 | 0.05 |
B | 15% | 30% | 0.75 | 0.333333333 | 0.025 |
C | 20% | 22% | 1.4 | 0.681818182 | -0.04 |
Market | 15% | 15% | 1 | 0.666666667 |
|
Risk Free Asset | 5% | 0% | 0 |
|
|
TREYNOR | JENSEN | ||||
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|
|
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| T= | ri - rf | Je= | R - Y - β x (R1 - Y) | |
| Bi |
|
| ||
ri= | rendimiento esperado | R= | Retorno medio de periodo | ||
rf= | Tasa libre de riesgo | R1= | indice de referencia del retorno medio del periodo | ||
Bi= | Varianza | Y= | tasa libre de riesgo | ||
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| B= | Beta Vs. De Referencia del periodo | |
Question 2
A portfolio has an actual return of 16.7 percent, a beta of .93, and a standard deviation of 7.2 percent. The market return is 13.4 percent and the risk-free rate is 2.8 percent. What is the portfolio's Jensen's alpha?
Portfolio |
|
|
| TREYNOR | JENSEN |
A | 16.7% | 7.2% | 0.93 | 1.930555556 | -0.02327 |
B | 15.0% | 30.0% | 0.75 | 0.406666667 |
|
C | 20.0% | 22.0% | 1.4 | 0.781818182 |
|
Market | 13.4% | 15.0% | 1 | 0.706666667 |
|
Risk Free Asset | 2.8% | 0.0% | 0 |
|
|
Question 3
A portfolio has a variance of .027556, a beta of 1.54, and an expected return of 11.2 percent. What is the Treynor ratio if the expected risk-free rate is 2.7 percent?
Portfolio |
|
|
| TREYNOR | |
A | 11.2% | 2.8% | 1.54 | 3.084627667 | 308.46% |
B | 15.0% | 30.0% | 0.75 |
| |
C | 20.0% | 22.0% | 1.4 |
| |
Market | 13.4% | 15.0% | 1 |
| |
Risk Free Asset | 2.7% | 0.0% | 0 |
|
Question 4
A Sharpe-optimal portfolio provides which one of the following for a given set of securities?
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