The Beta of an Active Portfolio Is 2

question 14

Multiple Choice

The beta of an active portfolio is 2.03. The standard deviation of the returns on the market index is 25%. The nonsystematic variance of the active portfolio is 0.06. The standard deviation of the returns on the active portfolio is

• A) 56.35%.
• B) 42.62%.
• C) 39.60%.
• D) 34.17%.
• E) 26.00%.

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Definitions:

Deca-

A prefix meaning ten, used in forming terms denoting objects composed of ten parts or units.

Primi-

A prefix meaning "first" used in medical terminology to denote the first occurrence or a primary condition.

Tri-

A prefix meaning three, used in terms referring to three parts or threefold.

Epigastric

Pertaining to the abdominal region located above the stomach.