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Analyzing the past performance of a security

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You are analyzing the past performance of a security with a historical volatility (i.e., standard deviation) of 43.35% per annum. Over the same period of time, the market's historical volatility has been 13.70% per annum. If the security has a beta of 1.49, then what amount of the security's historical volatility is attributed to diversifiable risk?

Note: Please express your answer as a decimal and not a percentage. For instance, a volatility of 5% should be expressed as 0.05, a volatility of 50% should be expressed as 0.5, and a volatility of 500% should be expressed as 5. Please provide an answer that is accurate to at least four decimal places.

Reference no: EM133123140

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