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Joel Foster is 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 5.00%. What rate of return should investors expect (and require) on this fund?
Stock |
Amount |
Beta |
A |
$1,075,000 |
1.50 |
B |
675,000 |
0.30 |
C |
750,000 |
0.80 |
D |
1,500,000 |
1.40 |
$4,000,000 | ||
10.56% |
||
10.83% |
||
11.11% |
||
11.48% |
||
11.77% |
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