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The manager of a iarge pension fund is pianning te invest in equity funds managed by the pensien fund's investment cnmpany. Tn evaiuate the funds,
The manager of a iarge pension fund is pianning te invest in equity funds managed by the pensien fund's investment cnmpany. Tn evaiuate the funds, the manager regressed five-years ef menthiy return data fer each fund against the returns an the 5&P 500 tn ehtain the feiiewing regression parameter estimates: Funds d]- B,- We] 1. Small Cap 1.1 1.9 100 2. Value 1.3 [$.15 15 3. Grewth 1.1 1.25 125 4. Large Cap [1.95 (1.9 5D 5. Low Pie [1.15 1.?5 15 The pensien fund 's ecenemic expert ferecast an expected return an the SEEP .500 sf 3% and an expected standard deviatien of MR") = 12.2595 WM\") = 15D). a. Using the Singie-index mndei { where the returns an each fund are reiated nniy tn the market}. determine the expected returns and standard devia tinns for each fund. I). Generate a variance-covariance matrix fer the five funds
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