Problem 13-14 Value-at-Risk (VaR) Statistic (LO4, CFA6)

a. A stock has an annual return of 11.4 percent and a standard deviation of 58 percent. What is the smallest expected gain over the next year with a probability of 5 percent? (Do not round intermediate calculations. Round the z-score value to 3 decimal places when calculating your answer. Enter your answer as a percent rounded to 2 decimal places.)

Smallest Expected Gain __________%

b. Does this number make sense?

• Yes

• No