Q&B Investment Fund has the following portfolio which comprises 60% of Share A and 40% of Bond B with the data provided in the table below: Share A Bond B Expected return 20% 10% Standard Deviation of return 18% 3% Correlation of coefficient (p) 0.4 Required: a) Assume that the portfolio has returns of 8.7%, -5.3%, 13.8%, 14.5% and 15.2% over the past five (5) years, respectively.

Calculate the geometric average return of the portfolio for this period?

b) Given the data provided in the table above, compute the expected return of the portfolio?

c) Determine the risk of the portfolio by calculating standard deviation? (2 marks) ANSWER:

d) Calculate the beta of this portfolio and compare systematic risk of the portfolio to the overall market, if the return on government bonds is 7.5% p.a. (per annum) and the market premium is 8 %?