Question: correct answer Performance Fund reports the following results using monthly data for the last 10 years:: Asset Excess Return Beta Standard Deviation (above ry) erformance

correct answer

Performance Fund reports the following results using monthly data for the last 10 years:: Asset Excess Return Beta Standard Deviation (above ry) erformance Fund 12.0% 1.20 30.0% Market 5.5% [ 1.00 ' 20.0% Using the SIM risk measures: Calculate Performance Fund's systematic risk over the sample period. (note: defined as a standard deviation i.e., take the square root of the variance) If your answer is a %, enter as a decimal to 4 decimal places e.g., if your answer is 5.23%, enter 0.0523. If your answer is a whole number, enter to 2 decimal places e.qg., if your answer is 11.4578, enter 11.46

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