The following information is available for two portfolios, a market index, and the risk-free rate:

a. Without doing calculations, determine the portfolio with a beta of 1.0.

b. Without doing calculations, determine the beta of portfolio 2.

c. Without doing calculations, determine the R2 for each portfolio.

d. Without doing calculations, what would you expect the alpha of portfolio 1 to be?

e. What would you expect the RVAR and RVOL to be for portfolio 1 relative to the market?​

Transcribed Image Text:

Market Return 0.10 Period RF 1 2 .06 0.10 0.20 0.12 .08 0.12 0.24 0.20 0.04 .08 0.20 0.40 08 0.04 0.08 0.12 .08 0.12 0.24 12345