Variance 0.0064 0.0081 0.0144 lio is 16% p.a and the Treasury Bill rate is 9%, urity and recommend whether to buy, hold or [15] s of their risk level attractiveness using the easure. [10]

the market portfolio is 16% p.a and the Treasury Bill rat alpha of each security and recommend whether to buy, ecurity. securities in terms of their risk level attractiveness using nd the Treynor measure. \begin{tabular}{lll} Security & Return & Beta \\ CBZ & 19% & 1.3 \\ ABC & 24% & 2.0 \\ XYZ & 12% & 0.4 \end{tabular} (a) If the return on the market por determine the alpha of each s sell for each security. (b) Rank the three securities in te Sharpe ratio and the Treynor r Following shores listed on the 2imbabre stack exchange have returns modelled by the following algebraic expressions Rppc=0,3+F14F2RmiR=0,5+3F1+2F2RT21=0,8+1,5F1+0F2 The 2imbabwe stock exchange industrial index is assumed to have a factor responsiveness (beta) of 2 on the first factor and a factor beta of 1 on the second factor. You are required to construct a portifolio made up of the three firms listed abore matching the risk of the ZSE industrial index [25] the market portfolio is 16% p.a and the Treasury Bill rat alpha of each security and recommend whether to buy, ecurity. securities in terms of their risk level attractiveness using nd the Treynor measure. \begin{tabular}{lll} Security & Return & Beta \\ CBZ & 19% & 1.3 \\ ABC & 24% & 2.0 \\ XYZ & 12% & 0.4 \end{tabular} (a) If the return on the market por determine the alpha of each s sell for each security. (b) Rank the three securities in te Sharpe ratio and the Treynor r Following shores listed on the 2imbabre stack exchange have returns modelled by the following algebraic expressions Rppc=0,3+F14F2RmiR=0,5+3F1+2F2RT21=0,8+1,5F1+0F2 The 2imbabwe stock exchange industrial index is assumed to have a factor responsiveness (beta) of 2 on the first factor and a factor beta of 1 on the second factor. You are required to construct a portifolio made up of the three firms listed abore matching the risk of the ZSE industrial index [25]