Investments Study Set 3
Quiz 5: Risk, Return, and the Historical Record
When a Distribution Is Negatively Skewed
When a distribution is negatively skewed, A) standard deviation overestimates risk. B) standard deviation correctly estimates risk. C) standard deviation underestimates risk. D) the tails are fatter than in a normal distribution.
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If a distribution has "fat tails," it exhibits A) positive skewness. B) negative skewness. C) a kurtosis of zero. D) kurtosis. E) positive skewness and kurtosis.
If a portfolio had a return of 8%, the risk-free asset return was 3%, and the standard deviation of the portfolio's excess returns was 20%, the Sharpe measure would be A) 0.08. B) 0.03. C) 0.20. D) 0.11. E) 0.25.
If a portfolio had a return of 12%, the risk-free asset return was 4%, and the standard deviation of the portfolio's excess returns was 25%, the Sharpe measure would be A) 0.12. B) 0.04. C) 0.32. D) 0.16. E) 0.25.
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