If the daily 95% confidence level value-at-risk (VaR) of a portfolio is correctly estimated to be USD 10,000, one would expect that in one out of:

Harold and Kumar are employees with White Castle Advisors. White Castle offers independent investment advice to institutional clients throughout the U.S and Canada. Harold’s and Kumar’s primary responsibility is evaluating the performance of portfolio managers that White Castle’s clients are considering. When necessary, they create customized benchmarks and use the Sharpe, Treynor, ex-post alpha, and M2 measures. These measures adjust a manager’s return for the risk undertaken, where risk is defined as total using the standard deviation or as systematic using beta. Harold and Kumar are preparing an analysis of the performance of the Alpha and Omega Mutual funds. Alpha and Omega are being considered by the endowment of Citi University as an addition to its portfolio. Chuck Prince is the portfolio manager for the Citi endowment. Citi’s current endowment is well diversified, consisting of U.S. and international stocks and bonds, hedge funds, real estate investment trusts, and a small cash position necessary to meet next Quarter’s expenses. In  addition  to  the  Alpha  and  Omega Mutual funds under consideration, Prince is also considering adding  individual  bonds  to  Citi’s  portfolio because individual bonds have become  increasingly  more  liquid.  Harold  believes  that  municipal  bonds would be a good consideration because their  after-tax  return  is  often  higher  than  that  available  from corporate bonds. Prince informs them that Citi  is  also  considering  adding  BBB  rated  bonds  as  a  small portion of their portfolio, but Kumar  believes  that  this  is  probably  not  a  good  idea  because,  although  he has not reviewed Citi’s  investment  policy  statement,  endowments  typically  have  a  low  ability  and willingness to take risk because the endowment must meet the  spending  needs  created  by  university operating budgets, student scholarships, and faculty salaries. The most recent risk and return measures for both Alpha and Omega are shown below. The minimum acceptable return (MAR) for Citi is the 5.0% spending rate on the endowment, which the endowment has determined using a geometric spending rule. The T-bill return over the same fiscal year was 4.5%. The return on the Wilshire-5000 was used as the market index. The Wilshire 5000 index had a return of 10% with a standard deviation of 21% and a beta of 1.0. Analyzing the results of their performance evaluation, Harold notices that the results demonstrate that the Alpha portfolio is less diversified than the Omega portfolio. Kumar adds that the Omega portfolio would be a better addition to the Citi portfolio than the Alpha fund.                                                                                                  Alpha                Omega                                                   Return                                     16.5%                15.9%                                                   Std. Deviation                         38.1%                35.6%                                                   Beta                                          0.8                    1.25                                                   Downside Deviation               14.9%                14.0%  Which of the two funds is showing a better performance using Treynor ratio?

Given the following code in R: v1

Assume that a manager has $10 million of funds to invest. The manager then borrows an additional $100 million at 4 percent interest and invests all of the funds at a 5 percent rate of return. What is the resulting rate of return of the portfolio?

Display your laptop’s memory and storage. Copy and paste a screenshot (or screenshots) showing both. 

The following questions requires the use of R and RStudio WITHOUT AI support. Disable AI support on RStudio. Copy and paste a screenshot of the Github setting in RStudio showing that the Enable Github Copilot disabled and applied. You are allowed to use the RStudio help function only.

Consider the following table of monthly returns for a hedge fund and an index portfolio. For the purpose of computation, the hurdle rate is the U.S. T-bill rate, assumed to be 6 percent per year.                                                 RETURNS (%)                                      MONTH    Hedge Fund       INDEX January 3.5% 2.4% February 4.0% 3.0% March – 2.0% -1.6% April -2.0% -1.0% May 1.0% 0.2% June 1.0% 1.0% What is the arithmetic average rolling returns for the hedge fund if the investor’s investment horizon is four months?

Suppose a hedge fund has a 2 and 20 fee arrangement and a net asset value (NAV) of $250 million at the beginning of the year. The high water mark was $280 million at the beginning of the year. At the end of the year, fund had a NAV of $278 million, before fees. If management fees are distributed annually based on the start-of-the year NAV, what is the total fees including both management and incentive fees for this year?

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 expected co variance between the markets? 

During interventional procedures, high level control fluoroscopy is employed, resulting in a _________ than during standard fluoroscopy.