The following data is available to you as a portfolio manager: Security estimated return(per cent)...
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The following data is available to you as a portfolio manager:
Security estimated return(per cent) Beta standard deviation(per cent)
1 32 2.10 50 2 30 1.80 35 3 25 1.65 42 4 20 1.30 26 5 18 1.15 29 6 15 0.85 18 7 14 0.75 20 8 12 0.50 17 Market 16 1.00 25 Index Govt security 7.5 0 0
In terms of security market lines, which of the securities listed above are undervalued? (3mks) Assuming that a portfolio is constructed investing equal proportion of funds in each of the above securities, what is the expected return and risk of such a portfolio? (3mks)
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