You are calculating the risk of ABC stock in relation to the market index and you find ABC’s beta is 2.50, the market index’s standard deviation is 22%, and the standard deviation of ABC’s residual error terms is 40%. What portion of ABC’s total variance is due to systematic risk? Please calculate the portion as a percentage. Do not enter % in the answer box. For example, if your answer is 0.12345 or 12.345% then enter as 12.35 in the answer box.
