"Portfolio Management":Beta coefficient

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來源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/03/17 14:29:40　字體：大小

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Questions 1:

The correlation between the historical returns of Stock A and Stock B is 0.75. If the variance of Stock A is 0.16 and the variance of Stock B is 0.09, the covariance of returns of Stock A and Stock B is closest to:

A 、 0.01.

B、 0.09.

C 、0.16.

Questions 2:

An asset has an annual return of 19.9%, standard deviation of returns of 18.5%,

and correlation with the market of 0.9. If the standard deviation of returns on

the market is 15.9% and the risk-free rate is 1%, the beta of this asset is closest

to:

A 、 1.02.

B 、 1.05.

C 、 1.16

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Cov(A,B) = ρABσAσB = 0.75 × 0.4 × 0.3 = 0.09

A is incorrect. Variance is used instead of standard deviation. Covariance is incorrectly calculated as 0.75 × 0.16 × 0.09 = 0.0108.

C is incorrect. Covariance is incorrectly calculated as [(0.4 × 0.3)/0.75] = 0.16.

【Answer to question 2】B

【analysis】

B is correct.

Portfolio Management:Beta coefficient

A is incorrect because it calculates the Sharpe ratio instead of beta: (19.9% – 1.0%)/18.5% = 1.02.

C is incorrect because it is the ratio of the standard deviation of the asset to the standard deviation of the market: (18.5%/15.9%) = 1.16.

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