"Portfolio Management":Portfolio Risk and Return: Part I

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Questions 1:

Based on the information in the table, which of the following is closest to the geometric mean annual return for the full period of 2010–2014?

Portfolio Management:Portfolio Risk and Return: Part I

A 、0.90%

B、 1.75%

C、 0.35%

Questions 2:

A portfolio has the following returns:

Portfolio Management:Portfolio Risk and Return: Part I

The sample variance of the portfolio is closest to:

A 、0.23%.

B、 0.36%.

C、 0.28%.

View answer resolution

【Answer to question 1】C

【analysis】

C is correct. The geometric mean annual return is computed multiplicatively as the nth root of the holding period.

Portfolio Management:Portfolio Risk and Return: Part I

【Answer to question 2】C

【analysis】

C is correct. The sample variance is calculated as the sum of squared deviations from the arithmetic mean.

Portfolio Management:Portfolio Risk and Return: Part I

A is incorrect. This is the calculation for population variance, which differs from the calculation for sample variance by the use of N in the denominator.

Portfolio Management:Portfolio Risk and Return: Part I

B is incorrect. The correct calculation requires subtraction of the mean before the values are squared and summed. This calculation is the sum of squares of the returns, not of the deviations.

Portfolio Management:Portfolio Risk and Return: Part I