Question
A portfolio generates an annual return of 15%, a beta of 1.1, and a standard deviation of 15%. The market index return is 10% and
A portfolio generates an annual return of 15%, a beta of 1.1, and a standard deviation of 15%. The market index return is 10% and has a standard deviation of 10%. What is the M-Square measure of the portfolio if the risk-free rate is 1%?
A. 8.15% B. 0.38% C. 5.94% D. 9.38%
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Financial Markets And Institutions
Authors: Jeff Madura
5th Edition
0324027443, 9780324027440
