Professional Development in Finance

2015年7月至2020年6月期间的平均市场平均超额收益率和平均无风险利率。
•使用Excel查找样本均值，并构建10 bin直方图。报告价值

•重复这些步骤以找到平均每月无风险利率。

a）从S＆P Capital IQ下载每种基金的月度价格数据并计算

•记住设置数据，使它们全部位于同一单位中。
b）基准分析：假设两个基金的alpha都等于零。
1）使用来自晨星的beta，计算每个基金的回报。
2）使用您估计的beta，计算每个基金的回报。
3）组织结果并将其显示在表格中。
c）我的最新预测表明，FBALX的预期收益为2.90％，VWELX的预期收益为2.73％。
1）使用MorningStar中的beta，计算并报告相应的alpha

2）使用您估计的beta，计算并报告每个beta的相应alpha

3）组织结果并将其显示在表格中。
d）为每个基金提供一到两个段落，说明哪个经理的股票更好

Another spring trainee, Nicole, was able to identify two independent factors, ?1and ?2, that
corresponded to several portfolios on our radar. Our office thinks her estimates correctly
explain expected portfolio returns, based on some tests we ran using Fidelity Balanced and
Vanguard Wellington, among other portfolios. In this analysis, we are assuming a risk-free rate
of 1.14 % and that all stocks have independent firm-specific components with a standard
deviation of returns of 35%.
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Table 1: Nicole’s Factor Analysis

Portfolio Beta on ?1 Beta on ?2 Expected Return
FBALX 0.3 0.22 2.90%
VWELX 0.2 0.23 2.73%
Compute and report the expected-return beta relationship that results from our set of
assumptions. (Hint: this will require computing the risk premia.)
During his time in our training program, your predecessor Jacob worked to combine historical
data and several weeks of research and interviews to build me the expected returns scenarios
for two potential stocks I’ve been watching as potential investment options. I’ve organized his
findings below:
Table 2: Outcomes for S&P 500 and Two Potential Stocks
Probability 46.6% 53.4%
Market Return -0.01314 0.0516
Aggressive Stock 0.09986 0.122
Defensive Stock 0.00424 0.03632
a) Compute and report the betas of the two stocks.
b) Find and report the expected rate of return on each stock based on the likelihoods
provided here for market outcomes.
c) If Jacob’s probability analysis is correct and the risk-free rate is 1.14%, report the
equation for the SML.
d) Plot the SML for this economy and include this figure in your report. Be sure to label
each asset appropriately.
e) Add the two stocks and report their respective alphas.
f) Report the alphas of each stock.
My supervisor and a colleague in the research department have also been watching these two
stocks. They believe that, based on the performance of the aggressive stock above and that of a
well-diversified portfolio, Finance One may be able to exploit an arbitrage opportunity if we
move quickly enough. Assume we are using a one-factor model and that the risk-free rate is
1.14%.
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Table 3: Expected Returns and Betas for Arbitrage Analysis
Portfolio Expected Return Beta
Aggressive 12.2% 0.34
Diversified 2.9% 1.1
Determine and report whether an arbitrage opportunity exists. Explain clearly why or why not.
If you find an arbitrage strategy, clearly explain what it is and explain the mathematics of how
it should be implemented. If your strategy requires involving Finance One’s broker, please
make a note of that. Please note that no credit will be awarded without a sufficient explanation.

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