Investeerimisfondis BEETA on jrgmised aktsiad:

Aktsia Oodatav tootlus Beeta Turuvrtus (milj)

A 5.80% 0.6 30

B 8.40% 0.9 80

C 12.00% 1.5 50

D 18.00% 2.8 40

KOKKU 200

Riskivaba tulumr on 3% ja tururiski preemia on 6%.

Leidke:

a)Milline on fondi beeta ja oodatav tootlus tuginedes fondi beetale?

b)Millised aktsiad fondi portfellis on le- vi alahinnatud tuginedes CAPM-ile.

c)Oletame nd, et fond mb maha aktsia/aktsiad, mis on portfellis le hinnatud. Mgist saadud raha aga investeeritakse uude aktsiasse (aktsia, mille beeta on 0.5. Eeldades, et uue aktsia vrtus on iglaselt hinnatud (oodatav tootlus vastab sstemaatilisele riskile) ja muud andmed tootluse ja beetade osas jvad samaks, leidke milline on uus oodatav tootlus portfellist ning portfelli beeta?

d)Tlgendage lhidalt portfellis toimunud muutusi.

In English the same text:

The investment fund BEETA has the following shares:

Share Expected performance Beta Market value (million)

A 5.80% 0.6 30

B 8.40% 0.9 80

C 12.00% 1.5 50

D 18.00% 2.8 40

TOTAL 200

Risk-free rate of return at 3% and market risk premium at 6%.

Find:

a) What is the beta of the fund and what is the expected return based on the beta of the fund?

b) Which shares in the fund's portfolio are overvalued or undervalued based on the CAPM.

c) Suppose now that the fund sells a share (s) that are overvalued in the portfolio. However, the proceeds from the sale will be invested in a new share (share E) with a beta of 0.5. Assuming that the value of the new stock is fairly valued (expected return with corresponding systemic risk) and other data on returns and bets that remain the same, find what is the new expected return on the portfolio and the portfolio beta?

d) Briefly interpret the changes made to the portfolio.