这个作业是计算基金的风险和收益回报
Professional Development in Finance
任务细节
任务1
首先，使用我们从S＆P Capital IQ和FRED获得的数据来计算每月的度量
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
最能代表超额月收益的集中趋势的度量。提供一个
两个句子解释您的计算并为您选择的参数做一个论点
值。
•重复这些步骤以找到平均每月无风险利率。
在这里查看我所附的两个基金文件。使用每个报告中报告的5年Beta
执行以下分析。
a）从S＆P Capital IQ下载每种基金的月度价格数据并计算
使用2015年7月至2020年6月的数据，相应的beta和alpha。
匹配MorningStar的报道？提供一到两个句子，说明原因
这两组值之间可能存在任何差异。 （您可以使用外部
资料来告知您的回复，但与往常一样，您必须正确引用它们。）
两个句子，比较和对比alpha和beta。
•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
每个基金。
2）使用您估计的beta，计算并报告每个beta的相应alpha
基金。
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
选择。使用您的计算以及对每个计算的评估来通知您的分析
基金投资组合。您还可以使用其他来源，例如S＆P Capital IQ，但是您
必须引用它们。
Task 2
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.)
Task 3
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
Bad State Good State
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.
Task 4
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.