USE THE INFORMATION BELOW FOR THE FOLLOWING PROBLEM(S)

question 50

Multiple Choice

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 percent with a standard deviation of 13 percent and a beta of 1.3. The market risk premium for this period of time was 6 percent, and the risk-free rate of return was 5 percent.
-Refer to Exhibit 7.6. 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:

Lipids

A group of naturally occurring molecules that include fats, waxes, sterols, and fat-soluble vitamins, among others, used by the body for energy and making up cell membranes.

Low-Density Lipoprotein

Low-density lipoprotein (LDL) is a type of cholesterol often referred to as "bad" cholesterol, which can accumulate in the walls of arteries and contribute to heart disease.

High-Density Lipoprotein

A class of lipoprotein that carries cholesterol away from the arteries to the liver for removal; often referred to as "good" cholesterol.

Lipid

Organic compounds including fats, oils, waxes, and sterols, which are important for energy storage, insulating and protecting organs.