Q1. Find the value of total expected return pa, total variance of returns pa, beta of stock ABC, beta of the portfolio, portfolio's systematic variance of returns pa.

Question 2 (total of 12 marks): The following table shows details of a portfolio made up of stock ABC and a managed fund DEF. The managed fund charges minimal fees and closely tracks the performance of the S&P500, so can be treated as the market portfolio. This managed fund is labelled S&P500 DEF in the below table. Returns are expressed as effective annual rates. Portfolio Details ABC S&P500 DEF Investment dollars $40,000 $60,000 0.06 0.08 Expected return Total standard deviation 0.11 0.16 Beta ? 1 Correlation of returns between ABC and S&P500 0.36