Suppose the standard deviation of the market return is 20%.

a. What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3? (Enter your answer as a percent rounded to the nearest whole number.)

Standard deviation %

b. What is the standard deviation of returns on a well-diversified portfolio with a beta of 0? (Enter your answer as a percent rounded to the nearest whole number.)

Standard deviation %

c. A well-diversified portfolio has a standard deviation of 15%. What is its beta? (Round your answer to 2 decimal places.)

Beta

d. A poorly diversified portfolio has a standard deviation of 20%. What can you say about its beta?

Less than 1.0

Equal to 1.0

More than 1.0