Goldman Sachs has a beta of 1.43, and Randgold Resources has a beta of 0.44. Suppose you have a portfolio which is 20% in a risk-free asset, 60% in Goldman, and 20% in Randgold.

• What's the beta of the portfolio?
• what's the volatility of the portfolio?

If your fund on average beats the market, the beta of your fund is

A. greater than 2

B. greater than 1

C. less than 1

D. less than 0.5

E. not enough information

Suppose stock A has a volatility of 60%, but it's expected return is equal to that of the risk-free rate. This is strange, because high volatility should mean high return, but this may be due to the fact that

I. Stock A has a lot of idiosyncratic risk

II. Stock A has no correlation with the market return

III. Stock A has a high beta

A)I.only B)II.only C)I.andII. D)II.andIII. E)I.II.andII.