A portfolio consists of the following two funds.

71.    A portfolio consists of the following two funds.

  

What is the expected return on fund A?

 

A.     12.0 percent

B.     13.3 percent

C.     13.7 percent

D.     14.5 percent

E.     15.7 percent

 

72.    A fund has an alpha of 0.73 percent and a tracking error of 4.9 percent. What is the fund's information ratio?

 

A.     0.112

B.     0.135

C.     0.149

D.     0.208

E.     0.229

 

73.    The Miller Fund's correlation with the market is .648. What percentage of the fund's movement can be explained by movements in the overall market?

 

A.     35 percent

B.     42 percent

C.     51 percent

D.     65 percent

E.     71 percent

 

74.    A portfolio has an average return of 14.2 percent and a standard deviation of 14.5 percent. Given this, you should expect to lose at least _____ percent on an annual basis once every century.

   

 

A.     -19.53

B.     -17.24

C.     -15.68

D.     -1.710

E.     -1.550

 

75.    A portfolio has a standard deviation of 15.8 percent and an average return of 14.2 percent. What loss is associated with a 2.5 percent probability?

   

 

A.     -12.03 percent

B.     -14.87 percent

C.     -16.77 percent

D.     -17.38 percent

E.     -19.36 percent

 

76.    Your portfolio has a standard deviation of 12.3 percent and an average return of 9.6 percent. You have a 5 percent probability of losing _____ percent or more in any given year.

   

 

A.     -33.79

B.     -31.54

C.     -12.59

D.     -10.63

E.     -3.34

 

77.    Lester has a portfolio with an average return of 12.8 percent and a standard deviation of 9.1 percent. He has a one percent probability of losing _____ percent or more in any given year.

   

 

A.     -33.97

B.     -38.87

C.     -20.67

D.     -5.04

E.     -8.37

 

78.    You have a portfolio which has an average return of 10.3 percent. In any given year, you have a 2.5 percent probability of earning either a zero or a negative annual return. What is the approximate standard deviation of your portfolio?

   

 

A.     5.26 percent

B.     6.43 percent

C.     6.94 percent

D.     7.60 percent

E.     8.14 percent

 

79.    Your portfolio has an expected annual return of 11.6 percent. What is the two-year expected return?

 

A.     11.60 percent

B.     14.65 percent

C.     16.40 percent

D.     21.60 percent

E.     23.20 percent

 

80.    Angie owns a portfolio which has an expected annual return of 11.70 percent. What is the two-year expected return on her portfolio?

 

A.     13.80 percent

B.     19.52 percent

C.     23.40 percent

D.     27.60 percent

E.     29.10 percent

                                        

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