Financial Risk Manager Part 1
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An endowment fund manager is estimating the market risk of Alpha Industrial Fund. The fund has an expected annual return of 7.1% and volatility of 7.9% and is benchmarked against the Russell 2000 Index. The manager assumes that the expected annual return of the Russell 2000 Index is 7.8% with an annual volatility of 9.8%. According to the CAPM, if the risk-free rate is 3.2% per year, what is the beta of Alpha Industrial Fund?
An endowment fund manager is estimating the market risk of Alpha Industrial Fund. The fund has an expected annual return of 7.1% and volatility of 7.9% and is benchmarked against the Russell 2000 Index. The manager assumes that the expected annual return of the Russell 2000 Index is 7.8% with an annual volatility of 9.8%. According to the CAPM, if the risk-free rate is 3.2% per year, what is the beta of Alpha Industrial Fund?
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