The Beta of an Active Portfolio Is 1

question 8

Multiple Choice

The beta of an active portfolio is 1.36. The standard deviation of the returns on the market index is 14%. The nonsystematic variance of the active portfolio is 0.04. The standard deviation of the returns on the active portfolio is

• A) 36.46%.
• B) 22.62%.
• C) 19.60%.
• D) 24.17%.
• E) 27.61%.