During 1986-1990, the Mean Quarterly Returns on Treasury Bills and the S+P

question 42

Multiple Choice

During 1986-1990, the mean quarterly returns on treasury bills and the S+P 500 were 1.46% and 3.95%, respectively. Using the SML, if a portfolio had a beta of 1.2, its expected quarterly return would be

• A) 5.7%.
• B) 6.5%.
• C) 4.8%.
• D) 6.2%.

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