questions 11 & 12

11. A stock has a variance of 100%. Its idiosyncratic risk market portfolio is 25%, what is the beta of the stock? (a) Either +1.2 or -1.2 (b) Either +1 or -1 (c) Either +0.83 or -0.83 (d) Either +0.25 or -0.25 Its idiosyncratic risk is 6197 If the variance of the 12. Over the last three years, the Aberdeen Small Cap Equity Fund GSXAX has made an average return of 0.5% per month. The S&P500 made 0.5% on average each month over the same period. The risk free rate was zero throughout. In her annual report to shareholders, GSXAX's fund manager claims she did better than the CAPM said she should have. Her claim: (6) Could be true if the beta of the fund were strictly less than 0.625 (b) Could be true if the beta of the fund were strictly more than 0.625 (c) Could be true if the beta of the fund were exactly 0.625 (d) Cannot be true