From Schwesers' Exam 2 Morning Session
Kenny James, CFA, is calculating the covariance of his large-cap mutual fund returns against the returns generated by intermediate govt bonds over the past 5 years. The following information is provided: (A-a) is the annual return minus the mean return for the large-cap mutual fund; (B-b) is the annual return minus the mean return for the intermediate government bonds.
(A-a) (B-b)
Year1 -23.4 4.2
Year2 -13.2 -1.6
Year3 -10.4 4.8
Year4 19.7 -12.2
Year5 27.2 4.7
Which of the following is closest to the covariance between the mutual fund and govt bonds?
A. 47.9
B. -59.9
C. -239.6 |
发表于 2011-7-11 19:52
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