Editing a. You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return at 18%. Security i Bi E(R) o(ei) A 6% 22% B 7% 8.5% C 1.7 9% 18% I Calculate the systematic risk for security A, B and C respectively. (3 marks) Interpret the e; and o(e;) Which security has the highest Treynor ratio? 0.9 0.6 (2 marks) (2 marks) Voice Interpret the e; and o(e) Which security has the highest Treynor ratio? (2 marks) b. You are given the following information for a hedge fund with high watermark requirement and a fee structure of "1 and 20". Based on the available information, please complete the following parts. i. Calculate the return for each year and also decide the high watermark; Calculate the management fee in dollars, assume it is 1%; ii. iii. Calculate the incentive fee net of management fee in dollars; to the investors. Lastly calculate the net return: (13 marks) iv. (2 marks) Fagus 00 P Editing a. You are given the following information in the table below for security A, B and C. The market portfolio has a standard deviation of return at 18%. Security i Bi E(R) o(ei) A 6% 22% B 7% 8.5% C 1.7 9% 18% I Calculate the systematic risk for security A, B and C respectively. (3 marks) Interpret the e; and o(e;) Which security has the highest Treynor ratio? 0.9 0.6 (2 marks) (2 marks) Voice Interpret the e; and o(e) Which security has the highest Treynor ratio? (2 marks) b. You are given the following information for a hedge fund with high watermark requirement and a fee structure of "1 and 20". Based on the available information, please complete the following parts. i. Calculate the return for each year and also decide the high watermark; Calculate the management fee in dollars, assume it is 1%; ii. iii. Calculate the incentive fee net of management fee in dollars; to the investors. Lastly calculate the net return: (13 marks) iv. (2 marks) Fagus 00 P