Question
Your capital is $100. Suppose that you have a long position of $141 in hedge fund X, a long positions of $21 in the market
Your capital is $100. Suppose that you have a long position of $141 in hedge fund X, a long positions of $21 in the market portfolio and a short position of $141+21-100 in the one-month T-Bill (risk-free asset). The alpha of the hedge fund is 0.0235 (in decimal form) and the beta is 0.158.
What is the CAPM beta of the investors complete portfolio?
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Understanding Futures Markets
Authors: Robert Kolb, James Overdahl
6th Edition
1405134038, 9781405134033
