You have invested 30% of your equity in market index fund (XM) and the remaining in risk
Question:
You have invested 30% of your equity in market index fund (XM) and the remaining in risk free asset (XRF). Expected return from market index fund is 30% and from risk free asset is 10%. And your staff has estimated Total Risk of Pakistani Stock Market (VAR M) is 64
Required:
1. Estimated Rp from this portfolio
2. Total risk of this portfolio
3. Bea of this portfolio
4. Non-diversifiable risk of this portfolio
5. Diversifiable risk of this portfolio
6. Is it a well-diversified portfolio, explain in one line
7. Is it an efficient portfolio, explain in one line
8. Does it fall on the CML, or above it, or below it on the graph paper, explain in one line
9. Does it fall on the SML, or above it, or below it on the graph paper, explain in one line 1
10. Please calculate co-efficient of determination of this portfolio, as well as correlation of the return of this portfolio with the market portfolio.