"Portfolio Management": standard deviation

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來(lái)源: 正保會(huì)計(jì)網(wǎng)校編輯：小鞠橘桔 2021/01/05 10:21:58　字體：大小

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Questions 1:

Last year, a portfolio manager earned a return of 12%. The portfolio’s beta was 1.5. For the same period, the market return was 7.5%, and the average risk-free rate was 2.7%. Jensen’s alpha for this portfolio is closest to:

A、 4.50%

B 、2.10%.

C 、0.75%

Questions 2:

A risk metric that measures how different an actual investment outcome could be from what the investor expects is most likely a:

A、 vega.

B 、duration.

C、 standard deviation.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Jensen’s alpha = 0.12 – [0.027 + 1.5(0.075 – 0.027)] = 0.021, or 2.10%.

A is incorrect. This is calculated by subtracting the market return from the portfolio return: 0.12 – 0.75 = 0.045 or 4.5%.

C is incorrect. This is calculated without the inclusion of the risk-free return: 0.12 – 1.5(0.075) = 0.0075 or 0.75%.

【Answer to question 2】C

【analysis】

C is correct. Standard deviation is a measure of dispersion in a probability distribution and is used to describe the range of outcomes (minimum and maximum, centered on the expected outcome) that can occur with a particular probability. In contrast, duration measures the sensitivity of a security or portfolio to a change in market interest rates, and vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

A is incorrect because vega measures the sensitivity of a security (either a derivative or a security with derivative-like characteristics) to a change in the price volatility of the underlying asset.

B is incorrect because duration measures the sensitivity of a security or portfolio to a change in market interest rates.

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