题目
Suppose the S&P 500 has an expected annual return of 7.6% and volatility of 10.8%. Suppose the Atlantis Fund has an expected annual return of 8.3% and volatility of 8.8% and is benchmarked against the S&P 500. If the risk free rate is 2.0% per year, what is the beta of the Atlantis Fund according to the Capital Asset Pricing Model?
选项
A.0.81
B.0.89
C.1.13
D.1.23
答案
C
解析
Since the correlation or covariance between the Atlantis Fund and the S&P 500 is not known, CAPM must be used to back out the beta.「huixue_img/importSubject/1564170576556331008.png」