Question

The following portfolio has an expected return of _____ percent and a beta of _____. Security...

The following portfolio has an expected return of _____ percent and a beta of _____.

Security Amount
Invested		 Expected
Return		 Beta
X $17,000 14.2% 0.98
Y $12,000 7.8 1.33
Z $11,000 9.5 1.07

Multiple Choice

  • 11.03; 1.28

  • 11.16; 1.11

  • 10.53; 1.13

  • 11.11; 1.16

  • 10.99; 1.11

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Homework Answers

Answer #1

total fund value = value of X + value of Y + value of Z = 17000+12000+11000=40000

Weight of X = value of X/ total fund value = 17000/40000

Weight of Y = value of X/ total fund value = 12000/40000

Weight of Z = value of X/ total fund value = 11000/40000

Expected fund return = Weight of X*return of X+ Weight of Y*return of Y+ Weight of Z*return of Z

=17000/40000*14.2+12000/40000*7.8+11000/40000*9.5

=10.9875

Fund beta = Weight of X*Beta of X+ Weight of Y*Beta of Y+ Weight of Z*Beta of Z

=17000/40000*0.98+12000/40000*1.33+11000/40000*1.07

=1.10975

10.99; 1.11 is correct

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