Performance measure is the most relevant in this case

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Reference no: EM132016914

1. What is the standard deviation of a portfolio of two stocks given the following data: Stock A has a standard deviation of 18%. Stock B has a standard deviation of 14%. The portfolio contains 40% of stock A, and the correlation coefficient between the two stocks is -.23.

2. If you took a short position in two S and P 500 futures contracts at a price of $1510 and closed the position when the index futures was $1492, you incurred:

A gain of $9000

A loss of $9000

A loss of $18000

A gain of $18000

A gain of 90,000

A loss of $90,000

3. If you want to allocate your funds between a market portfolio and a mutual fund, and given that you calculated the following statistics for each mutual fund individually which performance measure is the most relevant in this case?

A) Information ratio

B) Alpha

C) Sharpe measure

D) Treynor Measure

Reference no: EM132016914

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