Transcribed image text: Part II Problems 1. Over the past 5 years, you have only held three investments in Stocks A,B, and C. You initially purchased 130 shares of A. 240 shares of B, and 75 shares of C. At the time of purchase, you paid $30, $15, and $63. respectively for A, B, and C per share. Since that time, you have seen the following returns on each SMB RE Stock A Return Stock C Retur HML Stock B Return Market Return Year! 14.21% 6,48% 6.5% 4.2% -3.8% 1.0% Year 2 6319 14.58% 8.9% 5.4% -2.1% 896 21.5396 11.54% 7.37% -4.40% Year 3 2.67% 3.9% 8% 5.1% 1.1% -2.59% -1.89% Year 4 8.14% -5.8% -3.5% 1.1% 1.5% Year 5 4.87% 5.66% 3.08% 3.0% 6.8% 4,0% 1.8% a What is the standard deviation of your portfolio, based upon annual retums? (10 pts) b. Using the Fama-French model, what is the Jenson's Alpha of your portfolio? (10 pts) c. Given your performance, what is the probability over the next year that you will lose money (i.c., a return of less than 0%)? (5 pts) Transcribed image text: Part II Problems 1. Over the past 5 years, you have only held three investments in Stocks A,B, and C. You initially purchased 130 shares of A. 240 shares of B, and 75 shares of C. At the time of purchase, you paid $30, $15, and $63. respectively for A, B, and C per share. Since that time, you have seen the following returns on each SMB RE Stock A Return Stock C Retur HML Stock B Return Market Return Year! 14.21% 6,48% 6.5% 4.2% -3.8% 1.0% Year 2 6319 14.58% 8.9% 5.4% -2.1% 896 21.5396 11.54% 7.37% -4.40% Year 3 2.67% 3.9% 8% 5.1% 1.1% -2.59% -1.89% Year 4 8.14% -5.8% -3.5% 1.1% 1.5% Year 5 4.87% 5.66% 3.08% 3.0% 6.8% 4,0% 1.8% a What is the standard deviation of your portfolio, based upon annual retums? (10 pts) b. Using the Fama-French model, what is the Jenson's Alpha of your portfolio? (10 pts) c. Given your performance, what is the probability over the next year that you will lose money (i.c., a return of less than 0%)? (5 pts)