1. Suppose that over the past 30 years, the S&P has returned an average of 23% during periods in which the GDP growth rate was in excess of 4%. When the GDP growth rate was less than 2%, the S&P has averaged 4%. You feel there is a 25% chance the GDP growth rate will be greater than 4% next year, and a 45% chance the GDP growth rate will be less than 2%. Your expected return on the S&P is 12%. Given all of this, what has the S&P returned during historical periods when the GDP growth rate is between 2% and 4%? a. 11.1% b. 14.8% c. 12.6% d. 9.0% 2. If a market is form efficient, you could not make money by I. Weak; using only historical information II. Semi-strong; using on historical information III. Strong form; using private information IV. Semi-strong; public information a. I and III only b. I, II, and IV only c. I, III, and IV only d. I, II, III, and IV 3. Suppose you have a portfolio that has generated a return of 10% this past year. The expected return from the CAPM was 14.5%, based upon a beta of 1.52. Given this, what is the portfolio's Jenson's alpha? a. 12.0% b. -12% C. -4.5% d. .7% 4. Suppose you have a two-asset portfolio of WMT and TSLA. WMT has an average return of 14% and a standard deviation of 15%. TSLA has an average return of 28% and a standard deviation of 34%. The covariance between them is 350. If you have $235,000 in WMT and $762,000 in TSLA, what is the standard deviation of the portfolio? a. 27.42% b. 29.52% c. 32.54% d. 28.53% 5. Consider a portfolio with average return of 15% and standard deviation of 20%. What is the expected loss over the next two years at the 1% level? a. -35.79% b. -16.24% C. -30.0% d. -31.52%