100% satisfaction guarantee Immediately available after payment Both online and in PDF No strings attached
logo-home
Previously searched by you
Previously searched by you
logo
INV4801 ASSIGNMENT 02 SEMESTER 02 2023: 355371 $8.83   Add to cart
Quickly navigate to
Preview
  2.  
  3. University Of South Africa (Unisa)
  4.  
  5. INVESTMENTS: PORTFOLIO MANAGEMENT (INV4801)

Exam (elaborations)

INV4801 ASSIGNMENT 02 SEMESTER 02 2023: 355371
 43 views  4 purchases
  • Course
  • INVESTMENTS: PORTFOLIO MANAGEMENT (INV4801)
  • Institution
  • University Of South Africa (Unisa)
  • Book
  • Portfolio Management in Practice, Volume 1

INV4801 ASSIGNMENT 02 SEMESTER 02 2023: i) Calculate the expected active return, expected active risk and expected information ratio of this subset of managers, given the above allocations. ii) State whether each of the comments made by Cephas is correct or incorrect and explain your sele...

[Show more]

Preview 2 out of 10  pages

Document information

  • August 18, 2023
  • 10
  • 2023/2024
  • Exam (elaborations)
  • Questions & answers

Subjects

  • inv4801 assignment 2 semester 2 2023

Connected book

book image

Book Title:

Author(s):

  • Edition:
  • ISBN:
  • Edition:

Written for

  • University of South Africa (Unisa)
  • INVESTMENTS: PORTFOLIO MANAGEMENT (INV4801)
All documents for this subject (1)

Seller

avatar-seller
UNISAStudyNotez

Reviews received

Content preview

INV4801
ASSIGNMENT 02
SEMESTER 02
2023
DISTINCTION
THE TUTOR RESOURCE GUARANTEED

, ASSIGNMENT 02

Due date: Friday, 18 August 2023, 11:00 PM

Unique number: 355371


a) Stacey Case Scenario

Tadiswa Mpofu and Abigail Cephas are portfolio managers for Stacey associates. Mpofu
and Cephas are currently evaluating the expected performance of portfolio managers they
have hired for a subset of their clients' portfolios. For this subset, Mpofu and Cephas have
decided to pursue a core-satellite approach. The data below show the manager's active
returns and active risk. Tatenda management uses a value oriented approach, Matipa
advisors use a socially responsible investment approach, and Kunofiwa managers use an
enhanced indexing approach.



i) Calculate the expected active return, expected active risk and expected
information ratio of this subset of managers, given the above allocations. (5)



NB: To calculate the portfolio active risk, we assume that the correlations between the
managers’ active returns are zero.

Expected active return:

(0.1 × 2.8%) + (0.20 × 0%) + (0.25 × 2%) + (0.05 × 3.5%) + (0.40% × 1.7%) = 1.64%



Expected Active Risk:

√

=√

= 0.0141

= 1.41%




1

The benefits of buying summaries with Stuvia:

Guaranteed quality through customer reviews

Guaranteed quality through customer reviews

Stuvia customers have reviewed more than 700,000 summaries. This how you know that you are buying the best documents.

Quick and easy check-out

Quick and easy check-out

You can quickly pay through credit card or Stuvia-credit for the summaries. There is no membership needed.

Focus on what matters

Focus on what matters

Your fellow students write the study notes themselves, which is why the documents are always reliable and up-to-date. This ensures you quickly get to the core!

Frequently asked questions

What do I get when I buy this document?

You get a PDF, available immediately after your purchase. The purchased document is accessible anytime, anywhere and indefinitely through your profile.

Satisfaction guarantee: how does it work?

Our satisfaction guarantee ensures that you always find a study document that suits you well. You fill out a form, and our customer service team takes care of the rest.

Who am I buying these notes from?

Stuvia is a marketplace, so you are not buying this document from us, but from seller UNISAStudyNotez. Stuvia facilitates payment to the seller.

Will I be stuck with a subscription?

No, you only buy these notes for $8.83. You're not tied to anything after your purchase.

Can Stuvia be trusted?

4.6 stars on Google & Trustpilot (+1000 reviews)

82215 documents were sold in the last 30 days

Founded in 2010, the go-to place to buy study notes for 14 years now

Start selling
$8.83  4x  sold
  • (0)
  Add to cart