A RISK MANAGER WOULD LIKE TO CALCULATE THE COEFFICIENT OF VARIATIO...

33. A risk manager would like to calculate the coefficient of variation of a portfolio. The following table

reports the annual returns of the portfolio and of the risk-free rate over the most recent five years:

Year Portfolio Return Risk-Free Rate

1 4.0% 2.0%

2 –1.0% 1.5%

3 7.0% 1.0%

4 11.0% 1.0%

5 2.0% 0.5%

The coefficient of variation of the portfolio is closest to:

A. 0.90.

B. 0.74.

C. 1.00.