Exhibit 8.6 Use the Information Below for the Following Problem(S)

question 48

Multiple Choice

Exhibit 8.6
Use the Information Below for the Following Problem(S)
Jonathan Crowley is a portfolio manager for a large pension fund. Last year his portfolio had an actual return of 12.6% with a standard deviation of 13% and a beta of 1.3. The market risk premium for this period of time was 6% and the risk-free rate of return was 5%.
-Refer to Exhibit 8.6.How does Jonathan Crowley's portfolio compare to the market portfolio?

• A) Crowley's portfolio is less risky than the market portfolio.
• B) Crowley's portfolio significantly outperformed the market portfolio.
• C) On a risk-adjusted basis Crowley's portfolio performed similar to the market portfolio.
• D) On a risk-adjusted basis Crowley's portfolio significantly underperformed the market.
• E) On a risk-adjusted basis Crowley's portfolio significantly outperformed the market.

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Definitions:

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The process of increasing a firm's economic surplus, aiming to achieve the highest possible profit from its operations.

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A labor union that represents a smaller number of employees within a workplace or sector compared to a larger, competing union or where collective bargaining rights are not exclusively held.