Help 88% Fri 14:16 EF306_Exam Semester 1_2021.pdf (page 3 of 4) Q Such QUESTION 2 [TOTAL MARKS: 50] Q 2(a) [25 Marks] A portfolio manager summarizes the input from macro and micro forecasts in the following table: Micro Forecasts Asset Expected Return Beta Residual Standard (%) Deviation (%) Stock A 20 1.3 58 Stock B 18 I 1.8 71 Stock C 17 0.7 60 Stock D 12 1.0 55 Macro Forecasts Asset Expected Return (%) Standard Deviation (%) T-bills 8 0 Passive equity portfolio 16 23 Calculate expected excess returns, alpha values, and residual variances for these stocks. Support your answer with a discussion of the single index model. Help 88% Fri 14:16 EF306_Exam Semester 1_2021.pdf (page 3 of 4) Q Such QUESTION 2 [TOTAL MARKS: 50] Q 2(a) [25 Marks] A portfolio manager summarizes the input from macro and micro forecasts in the following table: Micro Forecasts Asset Expected Return Beta Residual Standard (%) Deviation (%) Stock A 20 1.3 58 Stock B 18 I 1.8 71 Stock C 17 0.7 60 Stock D 12 1.0 55 Macro Forecasts Asset Expected Return (%) Standard Deviation (%) T-bills 8 0 Passive equity portfolio 16 23 Calculate expected excess returns, alpha values, and residual variances for these stocks. Support your answer with a discussion of the single index model