Questions from General Investment


Q: You find a particular stock has an annual standard deviation of 54

You find a particular stock has an annual standard deviation of 54 percent. What is the standard deviation for a two-month period?

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Q: What is the formula for the Sharpe ratio for a stock and

What is the formula for the Sharpe ratio for a stock and bond portfolio with a zero correlation between stock and bond returns?

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Q: You find the monthly standard deviation of a stock is 8.

You find the monthly standard deviation of a stock is 8.60 percent. What is the annual standard deviation of the stock?

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Q: You are given the following information concerning three portfolios, the market

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: What are the Sharpe ratio, Treynor ratio, and Jensen’s alpha f...

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Q: Assume that the tracking error of portfolio X in Problem 3 is

Assume that the tracking error of portfolio X in Problem 3 is 9.2 percent. What is the information ratio for portfolio X? Data from Problem 3: You are given the following information concerning thre...

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Q: In Problem 3, assume that the correlation of returns on portfolio

In Problem 3, assume that the correlation of returns on portfolio Y to returns on the market is .75. What is the percentage of portfolio Y’s return that is driven by the market? Dat...

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Q: The Layton Growth Fund has an alpha of 2.1 percent

The Layton Growth Fund has an alpha of 2.1 percent. You have determined that Layton’s information ratio is 0.5. What must Layton’s tracking error be relative to its benchmark?

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Q: DW Co. stock has an annual return mean and standard deviation

DW Co. stock has an annual return mean and standard deviation of 12 percent and 30 percent, respectively. What is the smallest expected loss in the coming year with a probability of 5 percent?

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Q: Woodpecker, Inc., stock has an annual return mean and standard

Woodpecker, Inc., stock has an annual return mean and standard deviation of 18 percent and 44 percent, respectively. What is the smallest expected loss in the coming month with a probability of 2.5 pe...

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Q: Your portfolio allocates equal funds to the DW Co. and Woodpecker

Your portfolio allocates equal funds to the DW Co. and Woodpecker, Inc., stocks referred to in Problems 7 and 8. The return correlation between DW Co. and Woodpecker, Inc., is zero. What is the smalle...

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