b) If the covariance of the portfolio's returns with the market's returns is 0.00196 and the standard deviation of the market's returns is 5.307 per cent, what is the portfolio's beta? c) State briefly what beta purports to measure.

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Question Seven
a)
Security
c)
National Australia Bank
AMP
Woolworths
Energy Developments
Pacific Brands
PMP Limited
MYOB
Cash
Dollar Value of
Investment
Compute the annual return for the portfolio.
$170,000
$165,000
$175,000
$87,500
$85,000
$80,000
$60,000
$177,500
State briefly what beta purports to measure.
Annual Return (%)
- 30
- 10
15
8
6
2
12
6.50
b)
If the covariance of the portfolio's returns with the market's returns is 0.00196 and the
standard deviation of the market's returns is 5.307 per cent, what is the portfolio's beta?
10
Transcribed Image Text:Question Seven a) Security c) National Australia Bank AMP Woolworths Energy Developments Pacific Brands PMP Limited MYOB Cash Dollar Value of Investment Compute the annual return for the portfolio. $170,000 $165,000 $175,000 $87,500 $85,000 $80,000 $60,000 $177,500 State briefly what beta purports to measure. Annual Return (%) - 30 - 10 15 8 6 2 12 6.50 b) If the covariance of the portfolio's returns with the market's returns is 0.00196 and the standard deviation of the market's returns is 5.307 per cent, what is the portfolio's beta? 10
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