60.1K

Verified Solution

Link Copied!

QUESTION FOUR (20 Marks)

The Accentuate Group is a JSE listed company in South Africa. Accentuate operates within the chemical industries in South Africa.

JSE 100 is an index on the Johannesburg Stock Exchange, Accentuate is a constituent of JSE100 its weight in the index is given in table 1 below.

Index Code	Statistic Date	Instrument	Dividend Yield
J100	2019-01-31	Accentuate	8,08%
J100	2019-02-28	Accentuate	7,22%
J100	2019-03-31	Accentuate	6,22%
J100	2019-04-30	Accentuate	9,95%
J100	2019-05-30	Accentuate	8,85%
J100	2019-06-30	Accentuate	9,98%
J100	2019-07-31	Accentuate	9,31%
J100	2019-08-29	Accentuate	3,18%
J100	2019-09-30	Accentuate	5,14
J100	2019-10-31	Accentuate	10,15%
J100	2019-11-28	Accentuate	8,89%
J100	2019-12-31	Accentuate	10,99%

4.1 Using dividend yield as returns. Consider an investor with a portfolio consisting only of Accentuate shares. Calculate the Treynor ratio given that the beta of Accentuate is 0.8 (8 marks)

4.2 Consider an investor with a portfolio consisting only of Accentuate shares Given that the J100 market index was 5%. Calculate the Jensen alpha given that Accentuate beta is 0.8 (8 marks)

4.3 Calculate the expected return of a portfolio consisting of 40% treasury bills and 60% Accentuate shares. Given that the Treasury bill rate is 3.06%. (4 marks)

Answer & Explanation Solved by verified expert

See Answer