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The mean and standard deviation of the excess returns at the monthly frequency are provided below, together with the correlation between the fund and the

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The mean and standard deviation of the excess returns at the monthly frequency are provided below, together with the correlation between the fund and the index returns REUND AVERAGE STANDARD DEVIATION CORRELATION RINDEX 0.680 0.448 4.203 4.326 0.795 Question 4 (10%) Calculate the expected retum and standard deviation of a portfolio that invests 40% in the fund and 60% in the index. Interpret the results. Significance level Degree of freedom 2012 5. Toni Swed 1012.5. s (1 suded 5% 2.5 2521-sided 2-ded ided 12.Sed 0.5 (1-Sided 3108 1-84 1271 31 X 1.64 1-53 1-448 1-44 3.18 2.78 2.57 454 175 3.36 3.14 3 200 2.82 616 9.92 584 4.60 40 3.71 3.50 336 1.41 1-40 1:38 1:37 3.25 3.17 311 1-36 1-36 1-35 1:35 6.31 2002 215 201 2012 1.91 1 XV 1.86 IXT 1-81 80 178 1.77 1-76 1.76 1-75 174 173 1-73 1-72 1-72 3.72 1-71 1-71 71 3.05 3:01 2-98 2.95 2.92 15 17 898 88 449 a8 8 = 2 1- 34 1-34 1.39 1.33 226 223 2.00 2:18 2:16 2.14 2:13 2:12 2:11 2.10 2-09 2.09 2.08 2.07 2.07 2.0G 2:06 206 2-os 2.05 2.05 2-04 2-00 1-99 1-48 1-46 2.76 2.72 2.68 2165 2.62 2.60 2:58 2.57 2-55 2-54 2:53 2:52 2:51 2.50 2:49 2.49 2:48 2:47 247 2:46 2-46 2.34 2.37 2-36 2.33 2.90 2-88 2.86 2.85 2.83 2-82 2-81 2.80 25 1-33 1-33 1.32 1-32 1:32 1.32 1-32 1-32 1-31 11:31 1-31 1-31 1.30 1.29 1.29 1-28 2-74 2.78 27 1.71 1.70 1.70 1.70 1.70 1.67 1.66 1.66 2.77 2-76 2-76 2.75 2.66 2-63 262 2.58 120 1.64 the telo TABLE ? Critical Volves for Two Sided ond One Sided less Uring the Student Distribution cance level 102 121 3108 1-89 1.64 99 NIE 154 54 ES 21 SC 1-8 1-44 25 2:45 114 IM WI 1410 1-38 137 136 2 2.82 296 22 2-68 136 236 325 3-19 341 3-05 3:01 2.18 2-15 2.92 35 59.7 SH 81 BO 138 177 176 1-36 175 124 173 35 194 1-34 1-35 2-62 2-60 2. 25+ 17 18 181 552 254 **** S***&3923 ESZ ZEI ! ( 15:23 2.40 2-63 2.66 2.85 2-83 2-82 2.81 2-0 2-79 2:23 2.400 2018 2:46 2:14 2:13 212 2411 2-10 2-09 2.04 2-08 20 2.07 2.0G 2.00 206 2:05 2.05 2-05 2-04 2-00 1.99 1-48 1-46 2 51 2.50 2.49 it 25 bh't 2.48 2.78 -35 1-33 1-32 1-32 1-52 1-32 1-32 1-32 1-31 131 1-31 1-31 1. So 1.29 1.24 1-28 2+ 28 172 22 21 1 H1 171 1.70 170 1.70 1-70 16+ 1-66 -66 1-64 ehit ehit tez 757 2:46 2-46 2.39 2.37 2-36 2-75 275 2-6 203 242 2 33 2.58 12

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