Xcel CFA Open Workbook SeriesMaster CFA Concepts Using MS Excel
Portfolio ManagementReading 64Portfolio ConceptsContact Us:
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our Xcel in[Text to come ! Workbook Series [email protected]
CFA Open Workbook SeriesMaster CFA Concepts Using MS Excel
Portfolio ManagementPortfolio ConceptsCFA Institute does not
endorse, promote, or $arrant t!e accurac" or 'ualit" of t!e
products or ser(ices o)ered %" Pristine&*earn t!e follo$ing in
t!is s!eet+www.edupristine.com to do$nload more spreads!eets from
our Xcel in[Text to come ! Workbook Series Case1uestion 2Using
CAPM, determine t!e expected return for Read"made 3arment Co&
s!aresOptions "xpected #eturnA 22&45Margaret 6al#er, CFA and
7anc" 3reen, M-A are portfolio managers for 8!omas Anderson
In(estment Management 9rm& Margaret !as %een managing t!e
in(estment portfolio for a:uent clients in *ondon& 7anc"
recentl" /oined 8!omas Anderson In(estment Management 9rm& S!e
!as %een as#ed %" Margaret 6al#er to anal";ing an in(estment
opportunit" in Read"made 3arment Compan" for !er clients&
Read"made 3arment is -ritain 4?5 of portfolio C& 8!ere is no
ris# since, %eta is e'ual for Portfolio - and ne$
Portfolio&Conclusion gi(en %" 7anc" is related to trac#ing
portfolio rat!er t!an factor portfolio& Lo$e(er, factor
portfolio !as a speci9c set of factors, $!ic! is 2 for a particular
factor > ;ero for rest& Conclusion gi(en %" 7anc" is related
to trac#ing portfolio rat!er t!an factor portfolio& Lo$e(er,
factor portfolio !as a speci9c set of factors, $!ic! is 2 for a
particular factor > ;ero for rest& Since IR for portfolio C
is greater t!an portfolio -, Acti(e Portfolio must !a(e
outperformedaccording to 7anc"&Since IR for portfolio C is
greater t!an portfolio -, Acti(e Portfolio must !a(e
outperformedaccording to 7anc"&Allocate $t& to Portfolio A
> C suc! t!at 6AKEAJ6cKEcFE- Nr 6AKEAJG2=6AIKEcFE-Allocate
$t& to Portfolio A > C suc! t!at 6AKEAJ6cKEcFE- Nr
6AKEAJG2=6AIKEcFE-Return from ne$ portfolioF 6AKRAJ6cKRcReturn from
ne$ portfolioF 6AKRAJ6cKRcAr%itrage returnF 6AKRAJ6cKRc =R- of
?&?45 can %e ac!ie(ed %" s!orting portfolio - > %u"ing 6?5
in portfolio A > 4?5 of portfolio C& 8!ere is no ris# since,
%eta is e'ual for Portfolio - and ne$ Portfolio&Ar%itrage
returnF 6AKRAJ6cKRc =R- of ?&?45 can %e ac!ie(ed %" s!orting
portfolio - > %u"ing 6?5 in portfolio A > 4?5 of portfolio
C& 8!ere is no ris# since, %eta is e'ual for Portfolio - and
ne$ Portfolio&Conclusion gi(en %" 7anc" is related to trac#ing
portfolio rat!er t!an factor portfolio& Lo$e(er, factor
portfolio !as a speci9c set of factors, $!ic! is 2 for a particular
factor > ;ero for rest& Conclusion gi(en %" 7anc" is related
to trac#ing portfolio rat!er t!an factor portfolio& Lo$e(er,
factor portfolio !as a speci9c set of factors, $!ic! is 2 for a
particular factor > ;ero for rest& Since IR for portfolio C
is greater t!an portfolio -, Acti(e Portfolio must !a(e
outperformedaccording to 7anc"&Since IR for portfolio C is
greater t!an portfolio -, Acti(e Portfolio must !a(e
outperformedaccording to 7anc"&Ar%itrage returnF 6AKRAJ6cKRc
=R- of ?&?45 can %e ac!ie(ed %" s!orting portfolio - >
%u"ing 6?5 in portfolio A > 4?5 of portfolio C& 8!ere is no
ris# since, %eta is e'ual for Portfolio - and ne$
Portfolio&Ar%itrage returnF 6AKRAJ6cKRc =R- of ?&?45 can %e
ac!ie(ed %" s!orting portfolio - > %u"ing 6?5 in portfolio A
> 4?5 of portfolio C& 8!ere is no ris# since, %eta is e'ual
for Portfolio - and ne$ Portfolio&Conclusion gi(en %" 7anc" is
related to trac#ing portfolio rat!er t!an factor portfolio&
Lo$e(er, factor portfolio !as a speci9c set of factors, $!ic! is 2
for a particular factor > ;ero for rest& Conclusion gi(en %"
7anc" is related to trac#ing portfolio rat!er t!an factor
portfolio& Lo$e(er, factor portfolio !as a speci9c set of
factors, $!ic! is 2 for a particular factor > ;ero for
rest&
