he monthly risk free rate is 0.0025 and the monthly market return is expected to be 0.0042.

A portfolio Q has the following investment proportions:

Risk free asset 20%, Stock A 30%, Stock B 50%.

Use the results of the single-index model and ignore coefficients which are not statistically significantly different from zero at the 95% confidence level.

Consider the following statements.

I. The expected return of portfolio Q is (closest to) 0.0049. II. The standard deviation of return of portfolio Q is (closest to) 0.0079. III. The Sharpe ratio of portfolio Q is (closest to) 0.0271.

Which of the following is correct?

Jane is an analyst who has used the single-index model to regress the monthly excess returns of two stocks A and B on the monthly excess return on the market portfolio. The output of her regression analyses is shown in the following table