A portfolio has a 2.5 percent chance of losing 16 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 16 percent or more once in every how many years?

41.    A portfolio has a 2.5 percent chance of losing 16 percent or more according to the VaR when T = 1. This can be interpreted to mean that the portfolio is expected to have an annual loss of 16 percent or more once in every how many years?

 

A.     1.0

B.     2.5

C.     25

D.     40

E.     100

 

42.    A portfolio has an average return of 12.4 percent, a standard deviation of 15.8 percent, and a beta of 1.35. The risk-free rate is 2.6 percent. What is the Sharpe ratio?

 

A.     .49

B.     .52

C.     .62

D.     .71

E.     .75

 

43.    A portfolio has a beta of 1.26, a standard deviation of 15.9 percent, and an average return of 15.07 percent. The market rate is 12.7 percent and the risk-free rate is 3.6 percent. What is the Sharpe ratio?

 

A.     .61

B.     .68

C.     .72

D.     .84

E.     .88

 

44.    The U.S. Treasury bill is yielding 2.25 percent and the market has an expected return of 9.8 percent. What is the Sharpe ratio of a portfolio that has a beta of 1.32 and a variance of .027556?

 

A.     .55

B.     .60

C.     .69

D.     .74

E.     .82

 

45.    A portfolio has a beta of 1.23 and a standard deviation of 11.6 percent. What is the Sharpe ratio if the market return is 12.4 percent and the market risk premium is 7.9 percent?

 

A.     .07

B.     .11

C.     .65

D.     .84

E.     .90

 

46.    A portfolio has a variance of .0165, a beta of 1.05, and an expected return of 12.65 percent. What is the Sharpe ratio if the expected risk-free rate is 3.4 percent?

 

A.     .66

B.     .70

C.     .72

D.     .82

E.     .86

 

47.    A portfolio has a Sharpe ratio of .80, a standard deviation of 17.4 percent, and an expected return of 15.9 percent. What is the risk-free rate?

 

A.     1.98 percent

B.     2.36 percent

C.     2.48 percent

D.     3.09 percent

E.     3.15 percent

 

48.    Your portfolio has an expected return of 14.2 percent, a beta of 1.31, and a standard deviation of 15.3 percent. The U.S. Treasury bill rate is 3.48 percent. What is the Sharpe ratio of your portfolio?

 

A.     .65

B.     .67

C.     .70

D.     .77

E.     .83

 

49.    A portfolio has a beta of 1.16, a standard deviation of 12.2 percent, and an expected return of 11.55 percent. The market return is 10.4 percent and the risk-free rate is 3.2 percent. What is the portfolio's Sharpe ratio?

 

A.     .57

B.     .68

C.     .73

D.     .77

E.     .85

 

50.    Your portfolio has a beta of 1.17, a standard deviation of 14.3 percent, and an expected return of 12.5 percent. The market return is 11.3 percent and the risk-free rate is 3.1 percent. What is the Treynor ratio?

 

A.     .015

B.     .080

C.     .109

D.     .482

E.     .510

                                        

 CLICK HERE TO GET THE ANSWER !!!!