Question
1. Consider the following realized annual returns: Year End Index Realised Return (%) Stock A Realised Return (%) 2000 23.6 46.3 2001 24.7 26.7 2002
1. Consider the following realized annual returns:
Year End | Index Realised Return (%) | Stock A Realised Return (%) |
2000 | 23.6 | 46.3 |
2001 | 24.7 | 26.7 |
2002 | 30.5 | 86.9 |
2003 | 9.0 | 23.1 |
2004 | -2.0 | 0.2 |
2005 | -17.3 | -3.2 |
2006 | -24.3 | -27.0 |
2007 | 32.2 | 27.9 |
2008 | 4.4 | -5.1 |
2009 | 7.4 | -11.3 |
The average annual return on the Index from 2000 to 2009 is closest to:
4.00% | ||
8.75% | ||
7.10% | ||
9.75% |
2. What is the standard deviation of returns on the following two asset portfolio?:Asset A - weighting of 30% of value of portfolio - std dev. of returns 20%Asset B -weighting of 70% of value of portfolio - std dev. of returns 25%Correlation between Asset A & Asset B of 0.2
19.6% | ||
21.2% | ||
22.7% | ||
27.3% |
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