Interpret Risk Statistics
Series 65 · Flashcards · Application
SERIES 65 · FLASHCARDS
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QUESTION
If variance is
0.04
0.04
0.04
, what is the standard deviation?
QUESTION
Compute Jensen's
α
\alpha
α
if
R
i
=
12
%
R_i=12\%
R
i
=
12%
,
R
f
=
2
%
R_f=2\%
R
f
=
2%
,
R
m
=
8
%
R_m=8\%
R
m
=
8%
, and
β
=
1.5
\beta=1.5
β
=
1.5
.
QUESTION
Calculate mean return for
r
1
=
5
%
r_1=5\%
r
1
=
5%
,
r
2
=
−
1
%
r_2=-1\%
r
2
=
−
1%
,
r
3
=
2
%
r_3=2\%
r
3
=
2%
.
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ANSWER
r
ˉ
=
2
%
\bar{r}=2\%
r
ˉ
=
2%
. The mean is computed by summing the returns and dividing by the number of observations to find the average performance.
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