THE FOLLOWING INFORMATION IS PROVIDED ABOUT A STOCK MARKET INDEX...

115. - MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON VERSIONB QUESTIONS 2014 115. - MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON VERSIONB QUESTIONS 2014
MOCK AND SAMPLE EXAMS CFA LEVEL I MOCK EXAM AFTERNOON VERSIONB QUESTIONS 2014

115. The following information is provided about a stock market index m and security i:

Statistic Value

Covariance between market return and security return [Cov(R

i

, R

m

)] 0.01104

Correlation coefficient between market return and security return (ρ

i,m

) 0.3

Standard deviation of market return (σ

m

) 0.16

The beta of security i, β

i

, is closest to:

A. 1.88.

B. 0.23.

C. 0.43.

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