B5. Suppose you are a fund manager whose objective is to identify and invest in the optimal (tangent) portfolio on behalf of your investors and you currently hold your fund's benchmark portfolio, the ASX200. You are considering adding (only) 1 of 2 assets to your portfolio. With the following (historic) characteristics: Mean retum Standard Deviation Risk-Free 3.0% 0% ASX200 12.0% 17.0% Asset 1 12.2% 25.0% Asset 2 19.0% 35.0% To better understand the performance of these assets you run a regression of each asset's retum in excess of the risk-free rate on your benchmark's excess return and you gather the following information, ASX200 0 Alpha Beta R? Asset 1 0.02 0.8 Asset 2 0.025 1.5 1 1 0.2959 0.5308 B5a. Which is the best measure to evaluate these assets? [1 mark] (Answer in as few words as possible) Bsb. Why is your answer to BSu best? (2 marks] B5e. Which is the best asset to add to your current portfolio: (Answer Asset 1. Asset 2 or "Neither". Note: "Neither" means it is better to just stay with the ASX 200 alone mark] B5d. Show your work justifying your choice in BSc. 12 marks] B5. Suppose you are a fund manager whose objective is to identify and invest in the optimal (tangent) portfolio on behalf of your investors and you currently hold your fund's benchmark portfolio, the ASX200. You are considering adding (only) 1 of 2 assets to your portfolio. With the following (historic) characteristics: Mean retum Standard Deviation Risk-Free 3.0% 0% ASX200 12.0% 17.0% Asset 1 12.2% 25.0% Asset 2 19.0% 35.0% To better understand the performance of these assets you run a regression of each asset's retum in excess of the risk-free rate on your benchmark's excess return and you gather the following information, ASX200 0 Alpha Beta R? Asset 1 0.02 0.8 Asset 2 0.025 1.5 1 1 0.2959 0.5308 B5a. Which is the best measure to evaluate these assets? [1 mark] (Answer in as few words as possible) Bsb. Why is your answer to BSu best? (2 marks] B5e. Which is the best asset to add to your current portfolio: (Answer Asset 1. Asset 2 or "Neither". Note: "Neither" means it is better to just stay with the ASX 200 alone mark] B5d. Show your work justifying your choice in BSc. 12 marks]