Question

Assume a mutual fund has $800 million of assets under management. The weekly rate of return on the fund is 1.6% and the standard deviation of returns is 3%. Assuming normal distribution, calculate the dollar Value at Risk (VaR) per week at 5% probability.

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The return on a mutual fund has a normal distribution with
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A mutual fund has earned an annual average return of 15% over
the last 5 years. During that time, the average risk-free rate was
2% and the average market return was 12% per year. The correlation
coefficient between the mutual fund’s and market’s returns was 0.7.
The standard deviation of returns was 45% for the mutual fund and
22% for the market. What was the fund’s CAPM alpha?

A mutual fund has earned an annual average return of 15% over
the last 5 years. During that time, the average risk-free rate was
2% and the average market return was 12% per year. The correlation
coefficient between the mutual fund’s and market’s returns was 0.7.
The standard deviation of returns was 30% for the mutual fund and
22% for the market. What was the fund’s CAPM alpha?

You are considering the risk-return profile of two mutual funds
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approximately normally distributed.
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minimize the probability of earning a negative return?
b. Which mutual fund will you...

Consider the following capital market: a risk-free asset
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the expected return on bonds is 4.75% per year. The standard
deviation of stock returns is 42.00% and the standard deviation of
bond returns 14.00%. The stock, bond and risk-free returns are all
uncorrelated.
What is the expected return on the mutual fund?
What is the standard...

You are considering the risk-return of two mutual funds for
investment. The relatively risky fund promises an expected return
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promises an expected return and standard deviation of 6.4% and
3.8%, respectively. Assume that the returns are approximately
normally distributed. Using normal probability calculations and
complete sentences, give your assessment of the likelihood of
getting, on one hand, a negative return and on the other, a return
above 10%...

A mutual fund has earned an annual average return of 15% over
the last 5 years. During that time, the average risk-free rate was
2% and the average market return was 12% per year. The correlation
coefficient between the mutual fund’s and market’s returns was 0.7.
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is the rate of return on the fund?...

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