Suppose an analyst is valuing two markets. Market A is a dev…

Suppose an analyst is valuing two markets. Market A is a developed market, and Market B is an emerging market. The investor’s time horizon is five years. The other pertinent facts are:   Measure Value Sharpe ratio of the global portfolio 0.29 Standard deviation of the global portfolio 8% Risk-free rate of return 4.5% Degree of market integration for Market A 80% Degree of market integration for Market B 65% Standard deviation for Market A 18% Standard deviation for Market B 26% Correlation of Market A with global portfolio .87   Correlation of Market B with global portfolio .63   Estimated illiquidity premium for A 0   Estimated illiquidity premium for B 2.4   Referring to table: what is the equity risk premium for markets A & B assuming full segmentation?

Consider the information about an US equity portfolio manage…

Consider the information about an US equity portfolio manager who is benchmarked against a broad US market index.   Data Manager return 18% Broad market return 15 Normal portfolio return 20 Total active risk 5 Misfit active risk 3.5 What is the true active risk of the manager?