Jane Smith fund in Australia currently manages four asset classes which are Australian equity, US equity,...
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Jane Smith fund in Australia currently manages four asset classes which are Australian equity, US equity, emerging market debt securities, and Australian commercial real estate. In 2021, the following information is summarised in the table. While you have an interview with a fund manager of Jane Smith, the manager asks you to calculate the portfolio return and risk (show your workings in detail). Asset class Australian Equity US Equity EM Credit Correlations Australian Equity US Equity EM Credit Weight (%) 50 30 20 Australian Equity 1.00 0.82 0.35 (a) Compute the portfolio return (1 Mark) (b) Compute the portfolio risk (2 Mark) Return 0.18 0.22 0.06 US Equity 1.00 0.22 Standard deviation 0.25 0.35 0.14 EM Credit 1.00 Jane Smith fund in Australia currently manages four asset classes which are Australian equity, US equity, emerging market debt securities, and Australian commercial real estate. In 2021, the following information is summarised in the table. While you have an interview with a fund manager of Jane Smith, the manager asks you to calculate the portfolio return and risk (show your workings in detail). Asset class Australian Equity US Equity EM Credit Correlations Australian Equity US Equity EM Credit Weight (%) 50 30 20 Australian Equity 1.00 0.82 0.35 (a) Compute the portfolio return (1 Mark) (b) Compute the portfolio risk (2 Mark) Return 0.18 0.22 0.06 US Equity 1.00 0.22 Standard deviation 0.25 0.35 0.14 EM Credit 1.00
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