Question 2 al 12 maan in hexpertise, wiec XYZ was change traded fund art AS200 charge the te was the wore holdinge Ansumare dureren Portfolio Details XYZ ASX200 BTF Investment 20.000 TODO Eden 7 Total handard deviation Correlation of return between Van ASO 6.65 Do your ne pas provides were as decimais correcto de estar wampiyour answer is, Gestion de Wat is the tapeterna? Aren Questions What is the total warteo straat warance Ani A Quest Whet is the systemen A Question 2 (total of 12 marks): An investor has a portfolio of two securities, stock XYZ and an exchange traded fund (ETF) that tracks the ASX200 and charges negligible fees. Assume that the ASX200 ETF is the market portfolio. The following table summarises the investors' holdings. Assume that returns are effective annual rates or net discrete returns Portfolio Details XYZ ASX200 ETE Investment $40,000 $60,000 Expected return 6% pa 7% pa Total standard deviation 30% pa 25% pa Beta ? Correlation of returns between XYZ and ASX200 0.65 Do not enter your answers as percentages. Provide all answers as decimals correct to at least 6 decimal places. So for example if your answer is 1.23456789%, write 0.0123456789. Question 2a (2 marks): What is the portfolio's total expected return pa? Answers: Question 2b (2 marks): What is the portfolio's total variance of returns pa? portfolio variance: Answers example if your answer is 1.23456789%, write 0.0123456789. Question 2a (2 marks): What is the portfolio's total expected return pa? Answers: Question 2b (2 marks): What is the portfolio's total variance of returns pa? portfolio variance: Answers: Question 2c (2 marks): What is the beta of stock XYZ? Answers: Question 2d (2 marks): What is the beta of the portfolio? Answers: Question 2e (2 marks): What is the portfolio's systematic variance of returns pa? Answers: Question 21 [2 marks): Assuming that stock XYZ and the ETF are fairly priced, calculate the risk free rate Answers Question 2 al 12 maan in hexpertise, wiec XYZ was change traded fund art AS200 charge the te was the wore holdinge Ansumare dureren Portfolio Details XYZ ASX200 BTF Investment 20.000 TODO Eden 7 Total handard deviation Correlation of return between Van ASO 6.65 Do your ne pas provides were as decimais correcto de estar wampiyour answer is, Gestion de Wat is the tapeterna? Aren Questions What is the total warteo straat warance Ani A Quest Whet is the systemen A Question 2 (total of 12 marks): An investor has a portfolio of two securities, stock XYZ and an exchange traded fund (ETF) that tracks the ASX200 and charges negligible fees. Assume that the ASX200 ETF is the market portfolio. The following table summarises the investors' holdings. Assume that returns are effective annual rates or net discrete returns Portfolio Details XYZ ASX200 ETE Investment $40,000 $60,000 Expected return 6% pa 7% pa Total standard deviation 30% pa 25% pa Beta ? Correlation of returns between XYZ and ASX200 0.65 Do not enter your answers as percentages. Provide all answers as decimals correct to at least 6 decimal places. So for example if your answer is 1.23456789%, write 0.0123456789. Question 2a (2 marks): What is the portfolio's total expected return pa? Answers: Question 2b (2 marks): What is the portfolio's total variance of returns pa? portfolio variance: Answers example if your answer is 1.23456789%, write 0.0123456789. Question 2a (2 marks): What is the portfolio's total expected return pa? Answers: Question 2b (2 marks): What is the portfolio's total variance of returns pa? portfolio variance: Answers: Question 2c (2 marks): What is the beta of stock XYZ? Answers: Question 2d (2 marks): What is the beta of the portfolio? Answers: Question 2e (2 marks): What is the portfolio's systematic variance of returns pa? Answers: Question 21 [2 marks): Assuming that stock XYZ and the ETF are fairly priced, calculate the risk free rate Answers
