7.9是干扰信息吗吗

问题如下：

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?

选项：

A.

0.85

B.

0.95

C.

1.13

D.

1.23

解释：

Explanation

A is correct. Since the correlation or covariance between the Alpha Industrial Fund and the Russell 2000 Index is not known, CAPM must be used to back out the beta:

E(Ri) = RF +βi[E(RM)-RF]

Where:

E(Ri) is the expected annual return of the fund,

βi is the beta of the fund with the market index (the Russell 2000 Index),

RF is the risk-free rate per year,

E(RM) is the expected annual return of the market (in this case, the Russell 2000 Index).

Therefore,

7.1% = 3.2% +βi *(7.8% - 3.2%).

Hence,

βi = (7.1%-3.2%)/(7.8%-3.2%) = 0.85.

Section Foundations of Risk Management

Learning Objective Apply the CAPM in calculating the expected return on an asset. Interpret beta and calculate the beta of a single asset or portfolio.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.