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Remaining Time: 1 hour, 54 minutes, 57 seconds. 12 points Save Answer Question Completion Status: QUESTION 7 The risk free rate is 2.25% and a portfolio has a sensitivity to the risk factors outlined in the table below. Using the information provided, to 2 decimal places, answer the following questions. (Note: numbers in red are negative) Equity Risk Premium Factor Sensitivity Risk premium SmB S = -0.34 -1.84% Hmt h = 0.68 3.22% 16.23% Required a. A portfolio delivered a return of 22.65%pa over a three year period, An asset consultant uses the Capital Asset Pricing Model to assess manager performance, while the investment manager assesses its performance using the Fama- French model Save and Submit Save All Answers Click Save and Submit to save and submit. Click Save All Answers to save all answers. ention FINC3008 FINAL nntx D VitalSource Books OneDrivew maining Time: 1 hour, 54 minutes, 40 seconds. estion Completion Status: Required a. A portfolio delivered a return of 22.65%pa over a three year period An asset consuitant uses the Capital Asset Pricing Model to assess manager performance, while the investment manager assesses its performance using the Fama- French model 1. According to the investment manager, how much Carhart alpha did the portfolio generate over the period? ii. If the asset consultant assessed that the investment manger generated 1.88%pa of Jensen's alpha over the period, what value of beta is the consultant using for the portfolio? iii. H. over the period, the market had variance of 0.0399 whilst the portfolio had a variance of 0.0578, and using the consultant's value for beta, what must be the correlation of the portfolio with the market? b. Consider two similar assets that are trading in the market. Asset A has an expected return of 18.5%, whilst asset B has an expected return of 12.7% i. Explain which asset has the lower price and in terms of Modern Portfolio Theory explain why that is the case Save All Answers Save and Submit * Save and Submit to save and subinit. Click Save All Answers to save all answers. EIS-presentation (.pptx D FINC3008 FINAL F. A EIS presentation ....pptx Ili Remaining Time: 1 hour, 54 minutes, 57 seconds. 12 points Save Answer Question Completion Status: QUESTION 7 The risk free rate is 2.25% and a portfolio has a sensitivity to the risk factors outlined in the table below. Using the information provided, to 2 decimal places, answer the following questions. (Note: numbers in red are negative) Equity Risk Premium Factor Sensitivity Risk premium SmB S = -0.34 -1.84% Hmt h = 0.68 3.22% 16.23% Required a. A portfolio delivered a return of 22.65%pa over a three year period, An asset consultant uses the Capital Asset Pricing Model to assess manager performance, while the investment manager assesses its performance using the Fama- French model Save and Submit Save All Answers Click Save and Submit to save and submit. Click Save All Answers to save all answers. ention FINC3008 FINAL nntx D VitalSource Books OneDrivew maining Time: 1 hour, 54 minutes, 40 seconds. estion Completion Status: Required a. A portfolio delivered a return of 22.65%pa over a three year period An asset consuitant uses the Capital Asset Pricing Model to assess manager performance, while the investment manager assesses its performance using the Fama- French model 1. According to the investment manager, how much Carhart alpha did the portfolio generate over the period? ii. If the asset consultant assessed that the investment manger generated 1.88%pa of Jensen's alpha over the period, what value of beta is the consultant using for the portfolio? iii. H. over the period, the market had variance of 0.0399 whilst the portfolio had a variance of 0.0578, and using the consultant's value for beta, what must be the correlation of the portfolio with the market? b. Consider two similar assets that are trading in the market. Asset A has an expected return of 18.5%, whilst asset B has an expected return of 12.7% i. Explain which asset has the lower price and in terms of Modern Portfolio Theory explain why that is the case Save All Answers Save and Submit * Save and Submit to save and subinit. Click Save All Answers to save all answers. EIS-presentation (.pptx D FINC3008 FINAL F. A EIS presentation ....pptx Ili