A portfolio manager for a pension fund is considering investing in an ETF and is...
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A portfolio manager for a pension fund is considering investing in an ETF and is comparing this to the JSE All share index. The following information was gathered: Average returns Beta Standard deviation ETF 30% 20% 1.4 Market 10% 8% 1 The percent allocated to the risk-free asset is 40% and the risk-free rate is 9.2%. Calculate the M-squared
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