Deck 2: Asset Allocation and Security Selection: Part A

Question 1

What is the correlation coefficient for two assets with a covariance of .0032, if asset 1 has a standard deviation of 12 percent and asset 2 has a standard deviation of 9 percent?

A) 0.2963
B) 0.3456
C) 0.8721
D) 1.5980

Answer 1

A

Question 2

-Refer to Exhibit 2A.1. Calculate the covariance.

A) -32.20
B) -23.32
C) 1.00
D) 23.32
E) 32.20

Answer 2

-32.20

Question 3

-Refer to Exhibit 2A.1. Calculate the coefficient of correlation.

A) -0.456
B) -0.354
C) 0.000
D) 0.456
E) 3.538

Answer 3

-0.354