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Question 1 ln the table below, the characteristics of a mutual fund and a broad market index are provided. Broad Market In dex PIE ratio 18.47 PIB ratio 2.27 Dividend yield 2.2% EPS growth for 1 year 11.9% EPS growth for 5 years 6.0% Median market cap ($ billion) $8.5 Industry Weight Basic industries 13% Business services 7% Consumer goods 5% Consumer services 9% Energy 3% Financials 37% Information technology 7% Health 2% Media 2% Utilities 15% Total 100% [25 marks] Mutual Fund 22.33 4.09 1 .7% 22.7% 11.0% $47.9 1 2% 5% 8% 8% 1 0% 21 % 1 7% 1 3% 3% 3% 1 00% a) Using only the data provided, determine the style of the mutual fund. No cafcullations are required. (4) \f\fSix months have passed srnce the gathering or Information In lthlblt 1. As a result ot negative returns on the Pension Plan's investment portfolio, the Pension Plan is now underfunded by R20 million. The Pension {TURN OVER] 4 |NV480'I_TL'10'I_ 2021 Plan's investment committee, seeking to raise expected returns, increases the investment portfolio's equity ailocation to 77%. Immediately after this decision is implemented, Rusere Investments' equity price volatility and beta increase. Assume Rusere Investments' operational assets and its debtl'equity ratio (market value) remained constant during the six-month period. d) Discuss why Rusere Investments' equity beta increases in response to the Pension Plan's change in the asset allocation. (5) d) Calculate the spread duration of NUST pension plan portfolio and evaluate the credit risk of the portfolio versus the Mortgages. {4) Use the foiiowing information for question {e} and (i). Abigail Mpofu is a pension consultant at TRUST Bank and is asked to evaluate the following portfolios: I Portfolio A is highly concentrated, with ve stocks representing 75% of the total portfolio. I Portfolio B is highly diversied with over 400 stocks, none of which represent more than 1% of the total portfolio. I Portfolio 0 is a diversied portfolio of 70 stocks, with the top 10 names representing 30% of the total portfolio The following investment results were recorded during 2020'. Return Variance Beta Portfolio A 48% 81% 1.8 Portfolio B 30% 16% 1.2 Portfolio 0 10% 4% 0.5 Zimbabwe Stock Exchange (ZSE) Index* 20% 25% 1.0 *ZSE Index represents the market portfolio. Risk-free rate: 8% e) Compute the Sharpe and Treynor measure for each portfolio. (6) f) Identify which of the three portfolios had the best risk-adjusted performance in 2020. Justify your selection with two supporting arguments. (3)