Assume that the only source of systematic risk in the economy is the market risk. Consider a portfolio (P) with the following characteristics (which were measured over a certain timeperiod T): mean or expected annual return (p) = 100%, standard deviation of annual portfolio returns (p) = 25% and a beta relative to the market (p) = 1. During the same time-period T, the market index (M) had the following characteristics: mean or expected annual return (m) = 33% and the standard deviation of annual market returns (m) = 20%. Assume that the riskfree asset has an annual return of 2%.

What percentage of the total portfolio risk is systematic risk and what percentage is idiosyncratic risk? Show calculations