A Portfolio Generates an Annual Return of 17%,a Beta of 1.2

question 23

Multiple Choice

A portfolio generates an annual return of 17%,a beta of 1.2 and a standard deviation of 19%.The market index return is 12% and has a standard deviation of 16%.What is the M² measure of the portfolio if the risk free rate is 4%?

• A) 2.15%
• B) 2.76%
• C) 2.94%
• D) 3.14%

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Definitions:

Scores

The numerical expressions of the results, achievements, or performance of individuals, often used in the context of exams, tests, or competitions.

Range

The difference between the highest and lowest values in a dataset, providing a measure of spread or dispersion.

Descriptive Data

Statistical calculations and summaries that describe the main features of a dataset, often through measures of central tendency and variability.

Variability

Refers to the extent to which data points in a dataset differ from each other and from the mean.