Below are the recent performances of four investment funds, a market index (M), and a risk-free asset

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Below are the recent performances of four investment funds, a market index (M), and a risk-free asset (F):

a. Fill in the empty cells in the table above.

b. What are the alphas of the above portfolios? How did the investment funds perform?

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Finance For Executives Managing For Value Creation

ISBN: 9781473749245

6th Edition

Authors: Gabriel Hawawini, Claude Viallet

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Question Posted: Dec 05, 2022 03:59 AM

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Below are the recent performances of four investment funds, a market index (M), and a risk-free asset

Question:

Investment Fund Average return Average volatility Average beta A B 7.90% 10.10% 35% 40% 0.88 1.20 C D M 9.80% 7.20% 9.20% 32% 28% 30% 1.04 0.90 F 3.20%

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a The market has a beta of one the riskfree asset has a zero beta and a zero volatility b ...View the full answer

Finance For Executives Managing For Value Creation

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