Assume That You Are the Portfolio Manager of the SF

question 141

Multiple Choice

Assume that you are the portfolio manager of the SF Fund,a $3 million hedge fund that contains the following stocks.The required rate of return on the market is 11.00% and the risk-free rate is 2.00%.What rate of return should investors expect (and require) on this fund? Do not round your intermediate calculations. $\begin{array}{lrl}\text { Stock }&\text { amount }&\text { Beta }\\\text { A } & \$ 1,075,000 & 1.20 \\B & \$ 675,000 & 0.50 \\\mathrm{C} & \$ 750,000 & 1.40 \\\mathrm{D} & \$ 500,000 & 0.75\\&\$3,000,000\end{array}$
?

• A) 11.16%
• B) 10.82%
• C) 9.93%
• D) 9.37%
• E) 9.71%