uestion 17 Quiz naviga ot yet saved 2 3 Marked out of 2.00 Flag Question 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 9 TO 11 17 18 19 XYZ ASX200 ETF Investment $40,000 $60,000 Save and revie Time left 1:40 Expected return 6% pa 7% pa Total standard deviation 30% pa 25% pa HELP DURING Beta ? If you experier exam that inte. to complete it: Correlation of returns between XYZ and ASX200 0.65 For IT or persc 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 2f (2 marks): Assuming that stock XYZ and the ETF are fairly priced, calculate the risk free rate