11 May WHAT IS THE BETA OF THE PORTFOLIO?
Which of the following is/are true?
A) Most of the unsystematic risk is removed by the time a
portfolio contains 30 stocks.
B) Two points on the Characteristic Line are the T-bill and
the market portfolio.
C) The greater the total risk of an asset, the greater the
expected return.
D) All securities have a beta between 0 and 1.
40) If we are able to fully diversify, what is the
appropriate measure of risk to use?
A) expected return
B) standard deviation
C) beta
D) risk-free rate of return
41) You hold a portfolio with the following securities:
Expected
Security Value Beta Return
Driscol
Corporation 20% 3.20 36.0%
Evening
Corporation 40% 1.60 20.0%
Frolic
Corporation 40% .20 6.0%
What is the expected return for the portfolio?
A) 17.60%
B) 20.67%
C) 23.54%
D) 28.59%
42) The prices for the National Gasworks Corporation for
the second quarter of 2012 are given below. The price of the stock on April 1,
2012 was $130. Find the holding period return for an investor who purchased the
stock on April 1, 2012 and sold it the last day of June 2012.
Month End Price
April $125.00
May 138.50
June 132.75
A) -4.2%
B) -3.7%
C) 2.1%
D) 3.7%
33) Of the following, which differs in meaning from the
other three?A) systematic riskB) market riskC) undiversifiable riskD) asset-unique risk 34) Most stocks have betas betweenA) -1.00 and 1.00.B) 0.00 and 1.00.C) 0.60 and 1.60.D) 1.00 and 2.00. 35) A well-diversified portfolio includes investments in 50
securities. The portfolio’s systematic risk is likely to be aboutA) 50% of the total risk.B) 40% of the total risk.C) 25% of the total risk.D) zero because risk is eliminated with a portfolio of 50
securities or more. 36) Beta is a statistical measure ofA) unsystematic risk.B) total risk.C) the standard deviation.D) the relationship between an investment’s returns and the
market return. 37) A stock’s beta is a measure of itsA) unsystematic risk.B) systematic risk.C) company-unique risk.D) diversifiable risk. 38) If you hold a portfolio made up of the following
stocks: Investment Value BetaStock X $4,000 1.5Stock Y $5,000 1.0Stock Z $1,000 .5What is the beta of the portfolio?A) 1.33B) 1.24C) 1.15D) 1.00 39) Which of the following is/are true?A) Most of the unsystematic risk is removed by the time a
portfolio contains 30 stocks.B) Two points on the Characteristic Line are the T-bill and
the market portfolio.C) The greater the total risk of an asset, the greater the
expected return.D) All securities have a beta between 0 and 1. 40) If we are able to fully diversify, what is the
appropriate measure of risk to use?A) expected returnB) standard deviationC) betaD) risk-free rate of return 41) You hold a portfolio with the following securities: Expected Security Value Beta ReturnDriscol
Corporation 20% 3.20 36.0%Evening
Corporation 40% 1.60 20.0%Frolic
Corporation 40% .20 6.0%What is the expected return for the portfolio?A) 17.60%B) 20.67%C) 23.54%D) 28.59% 42) The prices for the National Gasworks Corporation for
the second quarter of 2012 are given below. The price of the stock on April 1,
2012 was $130. Find the holding period return for an investor who purchased the
stock on April 1, 2012 and sold it the last day of June 2012. Month End Price April $125.00 May 138.50 June 132.75A) -4.2%B) -3.7%C) 2.1%D) 3.7%
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