32. Consider the following information in relation to a portfolio composed of Fund A and Fund B: Fund A Fund B Portfolio weights (%) 70 30 Expected returns (%) 10 16 Standard deviations (%) 7 13 Correlation between the returns of Fund A and Fund B 0.80 The portfolio standard deviation of returns is closest to: A. 7.38%. B. 8.35%. C. 8.80%.

QUESTIONS 19 THROUGH 32 RELATE TO QUANTITATIVE METHODS

MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM MORNING 2013

32.

Consider the following information in relation to a portfolio composed of Fund A and Fund B:

Fund A Fund B

Portfolio weights (%)

Expected returns (%)

Standard deviations (%)

Correlation between the returns of Fund A and Fund B

0.80

The portfolio standard deviation of returns is closest to:

A. 7.38%.

B. 8.35%.

C. 8.80%.