s 1. A higher value of beta indicates that ... A. less systematic risk is taken. B. more systematic risk is taken. C. no systematic risk is taken. D. only systematic risk is taken. 2. Indicate whether statement 1 of the equity manager is true or false in respect of systematic risk and return, respectively. Systematic risk Return A. True False B. False False C. True True D. False True 3. Indicate whether statement 2 of the equity manager is true or false in respect of superior returns and extra return, respectively. Superior returns Extra return A. False False B. False True C. True False D. True True Page 9 of 11 RSK4805 Jan/Feb2025 Case study B A financial advisor assists an investor by explaining the value at risk and expected shortfall of his portfolio. Table 1 sets out the information that the financial advisor gathered in relation to the portfolio as a whole. Table 1: Information on overall portfolio (normally distributed) owned by the investor Time Mean Standard deviation Confidence level 6 months R5 million R12 million 95% Included in the investor's investment portfolio are two assets with a total investment value of R120 000. The daily volatility of both assets is 1% and the coefficient of correlation between the returns of these two assets is 0.4. The financial advisor makes the following statements about these assets in the portfolio: Statement 1: The standard deviation of each asset is R1 000. Statement 2: The variance of the portfolio's daily change is equal