Question One [20/ Assume fund returns are normally distributed. Estimated Annualised Risk-Return Parameters for the Selected South African Unit Trusts, the Market Proxy and the Risk-Free Proxy: Return Beta Std. Deviation AC Value Fund 17% 1.2 23% AM Momentum Fund 23% 1.85 33% All Share Index (Market Proxy) 12% 1.0 16% 90-day Treasury Bill (Risk-free Proxy) 6% O 0% a) Construct a 99% confidence interval for the estimated performance on the AC Value Fund. (2) b) Construct a 95% confidence interval for the estimated performance on the AM Momentum Fund.(2) c) Compute the probability that the AC Value Fund will earn an annual return of 12% or less. (4) d) Compute the probability that the AM Momentum Fund will earn an annual return of 12% or more. (4) e) Compute the probability that the market proxy will earn a return of between 0% and the risk-free rate. (4) 1') Determine whether the AC Value Fund, the AM Momentum Fund or the market proxy minimises the probability of earning less than the risk-free rate based on the Dnu'c cafphr-Fll'l' nrincinle. fd'l