Quantitative Methods Q132
132Diana Sorenson, an equity fund manager has the following information about a common stock portfolio:
| Arithmetic mean return | 12.9% |
| Geometric mean return | 10.3% |
| Portfolio beta | 1.6 |
| Risk-free rate of return | 3.50% |
| Variance of returns | 212 |
From the given information, the coefficient of variation is closest to:
- Option : A
- Explanation : The coefficient of variation is: (Standard deviation of return) / (Mean return) = √212 / 12.9 = 1.13
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