The hedge fund has $100 in total equity capital. Any capital not invested in A, B or C is in (risk-free) cash. Cash is not expected to earn a return. 1. What portfolio weight does C have on December 31, 2020? The answer should be given in decimal form (e.g., 1 % is 0.01). Hint: the sign matters. Also, be careful about the denominator (see PS. 1-2 Example C).

Consider the following information regarding a hedge fund: Time Security A Security B Security C 12/31/2020 Long position $30 Long position $70 Short position $50 Actual realized) return 12/1/2020-12/31/2020 10 % 5 % -7.5 % 1/1/2021-1/31/2021 20 % 10 % -15% Arithmetic average return 1/1/2015-12/31/2020 5 % 2.5 % -3.75 % Historical (sample) Std. Dev. 1/1/2015-12/31/2020 20 % 10 % 15 % Estimated CAPM Beta 1/1/2015-12/31/2020 1 0.5 0.3