# Question: A fund s risk appetite is such that it wants to

A fund's risk appetite is such that it wants to be 97.5% certain it will not lose more than 25% in any one year. Using the performance of the S&P 500 between 1994 and 2003 (see Table 27.2) determine the beta the fund should have. Assume a risk-free rate of 2.5% per annum.

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