a)Use the table below to answer the following sections (I, II). If the long-term Commonwealth bonds rate is 2.50%p.a., the return (standard deviation) for market-index is 9.65% p.a. (17% p.a.)

I. Which fund has the lowest overall risk versus its return?

II. Which funds following Jensens alpha outperformed the market?

b)The date is 14 August, and NWORC Ltd is trading at $75.40, the current continuous riskfree interest rate is 2.50%p.a. You have been approached to provide a fair price for an individual share futures contract that expires on 15 December.

I. There are 124 days between 14 August and 15 December, what is the fair price of the futures assuming dividend yield is 3.5%?

II. 44 days after the initiation of the contract, the price of the share finished at $65. What is the value of the position for someone who is short in the trade?

Average Return (% p.a.) Standard deviation (% p.a.) Beta Fund STR 10.50 3.40 1.00 Fund SHP 20.70 5.60 1.97 Fund ENT 12.30 7.40 0.73 Fund GLX 18.40 5.85 1.19 Average Return (% p.a.) Standard deviation (% p.a.) Beta Fund STR 10.50 3.40 1.00 Fund SHP 20.70 5.60 1.97 Fund ENT 12.30 7.40 0.73 Fund GLX 18.40 5.85 1.19