The table below shows selected financial data for the Turtle Income fu

The table below shows selected financial data for the Turtle Income fund, the Hare Growth fund, the market portfolio and the risk free asset.

If you wanted to build a portfolio out of T-Bills and the market portfolio to mimic the performance of the Turtle Income Fund, what proportion would you invest in the market portfolio?

Turtle Hare Market Risk Free
Expected Return 10% 13% 12% 5%
Std Dev. 8.5% 17.9% 11.9% 0%
Beta 0.7143 1.4 1 0

A) 37.1%
B) 50.0%
C) 71.4%
D) 105.7%
E) 140.0%

ANSWER

C