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Langtermyn Staats- en Maatskappy Effekte fonds, en die derde is ʼn Geldmark fonds met ʼn versekerde
opbrengs van 5.5%. Die volgende is van toepassing:
A pension fund manager is considering three mutual funds. The first is a Stock fund, the second is a Long-
term Government and Corporate Bond fund, and the third is a Money market fund that yields a sure rate
of 5.5%. The following is applicable:
E(R)
Aandeel Fonds / Stock Fund (S) 15% 32%
Effekte Fonds / Bond fund (B) 9% 23%
Die korrelasie (ρ) tussen S en B is 0.15. / The correlation (ρ) between S and B is 0.15.
2. Vir die twee riskante bates: bereken die minimum variansie portefeulje gewigte [wS (2.1) & wB
(2.2)] met die volgende formule:
For the two risky assets: calculate the minimum-variance portfolio weights [wS (2.1) & wB (2.2)]
with the following formula:
3. Bereken die verwagte opbrengs (3.1) en standaard afwyking (3.2) van die minimum variansie
portefeulje soos bereken in Vraag 2. / Calculate the expected return (3.1) and standard deviation
(3.2) of the minimum variance portfolio as calculated in Question 2.
16
14
12
10
0
0 5 10 15 20 25 30 35
6. Wat is die opbrengs-tot-volatiliteit (Sharpe) verhouding (6.1) van die mees optimale Kapitaal
Allokasie Lyn (KAL)? / What is the reward-to-variability (Sharpe) ratio (6.1) of the most optimal
Capital Allocation Line (CAL)?
7. Veronderstel nou dat u portefeulje ʼn opbrengskoers van 12% moet lewer en op die
geïdentifiseerde Kapitaal Allokasie Lyn (KAL) in Vraag 6 moet lê. / Suppose now that your portfolio
must yield an expected rate return of 12% and that it must fall on the identified Capital Allocation
Line (CAL) in Question 6.
a. Wat is die standaard afwyking van die portefeulje? (7.1) / What is the Standard Deviation of
your portfolio? (7.1)
b. Wat is die proporsie wat in die Geldmarkfonds (7.2) belê moet word en die proporsies in die
Aandeel (7.3) en Effekte (7.4) fondse? / What is the proportion invested in the Money Market
(7.2) fund and the Stock (7.3) and Bond (7.4) funds respectively?
8. Indien u net die twee riskante fondse kan gebruik en nog steeds ʼn 12% opbrengskoers benodig,
wat is die beleggingsproporsies [wS (8.1) & wB (8.2)] van u portefeulje? Bereken die standaard
afwyking (8.3) en vergelyk dit met u antwoord in (7). Wat is u gevolgtrekking? / If you were to only
use the two risky funds and still require an expected return of 12%, what would be the investment
proportions [wS (8.1) & wB (8.2)] of your portfolio? Calculate the standard deviation (8.3) and
compare it to your answer in (7). What do you conclude?