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中文题目The risk-free rate is 2.5% and the market expected return is 9.5%. Stock A has beta 1.1 and zero alpha forecast. Stock B has beta 0.4 and a forecast alpha of 1.5%. Under a CAPM-plus-alpha view, which stock has the higher expected return, and by how much?
打开 →Even though markets are more complex than one-factor CAPM, why is CAPM still used in practice?
打开 →A trading sleeve has realized return 12% and market beta 1.4. The risk committee wants the reported beta reduced to exactly 1.0 by parking the rest of the capital in T-bills earning 2%. If the market returned 8%, what alpha will the combined position report relative to CAPM?
打开 →A stock has beta 1.2 and the risk-free rate is 2%. If CAPM says its expected return should be 9.2%, what market risk premium is implied?
打开 →A PM requires at least 1.0% expected alpha over CAPM before buying a stock. If the risk-free rate is 1%, the market expected return is 7%, and the stock's beta is 0.6, what minimum expected return must the stock have to qualify?
打开 →A stock returns 1.8% while the benchmark returns 0.9%. If the stock beta is 1.1 and the risk-free rate is negligible over the horizon, what single-period alpha do you attribute to the stock?
打开 →A stock returned 1.3%. Under the old benchmark, the benchmark return was 0.8% and beta was 1.0. Under a new benchmark, the benchmark return is 0.5% with the same beta. By how much does the stock's measured alpha increase?
打开 →A sleeve with beta 1.4 is blended with a hedge sleeve of beta -0.2. What weight on the first sleeve gives portfolio beta 0.5?
打开 →A manager sleeve has beta 1.25. It is mixed with cash of beta 0. What weight on the manager sleeve makes the overall beta exactly 1?
打开 →A portfolio mixes a market-neutral arbitrage sleeve with realized return 4% and beta 0.2, and a directional sleeve with realized return 14% and beta 1.4. Let w be the weight in the directional sleeve and 1-w in the arbitrage sleeve. If the risk-free rate is 2% and the market retu
打开 →A PM runs a stock with beta 0.7. After the quarter, a 0.8% fee is deducted from the stock's gross return before alpha is reported. If the risk-free rate is 1.5% and the market returned 5.5%, what gross stock return is needed so the reported post-fee alpha is +1.0%?
打开 →A stock follows a one-factor model with beta 1.5. Market variance is 0.04 and the stock's total variance is 0.16. What idiosyncratic variance is implied?
打开 →A cash equity book has beta 0.60 to the market. The desk can short index futures with beta 1.00 per unit notional. What short futures notional, as a fraction of NAV, is needed to bring the portfolio beta down to 0.15?
打开 →A PM says a stock with beta 1.5 and realized return -1% still generated exactly zero alpha this month. If the risk-free rate was 2%, what market return would make that statement true?
打开 →A core book has beta 0.9 and notional 200. An index future has beta 1.0. What short futures notional makes the combined beta exposure zero?
打开 →Sleeve A has weight 40% and alpha 2%, sleeve B has weight 60% and alpha -0.5%. What is the portfolio alpha?
打开 →A portfolio has alpha 0.01, market beta 1.1 with market factor move 0.02, value exposure 0.4 with value-factor move -0.01, and size exposure 0.3 with size-factor move 0.015. What return does this linear factor model attribute to the portfolio?
打开 →A portfolio has alpha 0.005, market beta 0.9 with market factor move 0.015, value exposure -0.2 with value-factor move 0.01, and size exposure 0.2 with size-factor move 0.012. What return does this linear factor model attribute to the portfolio?
打开 →A portfolio has alpha 0.008, market beta 0.7 with market factor move 0.01, value exposure 0.3 with value-factor move 0.005, and size exposure -0.1 with size-factor move 0.011. What return does this linear factor model attribute to the portfolio?
打开 →A portfolio has alpha 0.009, market beta 1 with market factor move 0.017, value exposure -0.4 with value-factor move 0.008, and size exposure 0.25 with size-factor move 0.014. What return does this linear factor model attribute to the portfolio?
打开 →Why can measured alpha disappear once you change the factor model used to benchmark a portfolio?
打开 →Why can a stock have a low beta but still be risky in an absolute sense?
打开 →Why is estimating an expected return from a factor model different from explaining a realized return after the fact?
打开 →Why is it often more informative to hedge factor exposures than to hedge names one by one?
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