1. Assume a particular stock has an annual standard deviation of 55 percent. What is the standard deviation for a 2-month period? (Round your answer to 2 decimal place. Omit the "%" sign in your response.)

Standard deviation

%

2. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:

Portfolio	RP		P		P
X	12.5	%	38	%	1.45
Y	11.5		33		1.15
Z	9.4		23		.80
Market	11.9		28		1.00
Risk-free	6.2		0		0

What is the Sharpe ratio, Treynor ratio, and Jensens alpha for each portfolio? (Round your Sharpe ratio answer and Treynor ratio answer to 5 decimals and Jensen's alpha answers to 3 decimal places. Negative amounts should be indicated by a minus sign. Omit the "%" sign in your response.)

Portfolio	Sharpe ratio	Treynor ratio	Jensen's alpha
X			%
Y			%
Z			%
Market			%

3. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:

Portfolio	RP		P		P
X	14	%	20	%	1.8
Y	13		15		1.3
Z	9.2		5		0.85
Market	11.1		10		1
Risk-free	6.6		0		0

Assume that the tracking error of Portfolio X is 10.6 percent. What is the information ratio for Portfolio X? (Round your answer to 4 decimal place.)

Information ratio

4. Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset:

Portfolio	RP		P		P
X	12.5	%	34	%	1.5
Y	11.5		29		1.20
Z	7.1		19		0.8
Market	10.5		24		1
Risk-free	6.2		0		0

Assume that the correlation of returns on Portfolio Y to returns on the market is 0.68. What is the percentage of Portfolio Ys return that is driven by the market? (Round your answer to 2 decimal places. Omit the "%" sign in your response.)

Ys return explained by market

%