A fund's risk appetite is such that it wants to be 90% certain that it will not

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A fund's risk appetite is such that it wants to be 90% certain that it will not lose more than 20% in any one year. Using the performance of the S&P 500 between 1970 and 2021 (see Table 24.1), determine the beta the fund should have. Assume a risk‐free rate of 3% per annum. 


Table 24.1

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