Consider a portfolio 30% of which is invested in stock A and 70% invested in ETF mimicking the S&P500. Stock A has an expected return of 27% and a standard deviation of 35%, and ETF has an expected return of 19% and a standard deviation of 21%. Calculate stock A’s beta if correlation between stock A and ETF equals -0.48. 1.15 -1.07 1.95 -0.80
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Consider a portfolio 30% of which is invested in stock A and 70% invested in ETF mimicking the S&P500. Stock A has an expected return of 27% and a standard deviation of 35%, and ETF has an expected return of 19% and a standard deviation of 21%. Calculate stock A’s beta if correlation between stock A and ETF equals -0.48.
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1.15 |
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-1.07 |
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1.95 |
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-0.80 |
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