The Beta of an Active Portfolio Is 1

question 15

Multiple Choice

The beta of an active portfolio is 1.36. The standard deviation of the returns on the market index is 22%. The nonsystematic variance of the active portfolio is 1.2%. The standard deviation of the returns on the active portfolio is

• A) 3.19%.
• B) 31.86%.
• C) 42.00%.
• D) 27.57%.
• E) 2.86%.

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