Economics & Analysis第 5 / 110 题
A portfolio has an expected return of 9% and a standard deviation of 12%. What does the standard deviation measure?
a.The portfolio's sensitivity to overall market movements
b.The dispersion or variability of the portfolio's returns around its mean
c.The portfolio's return in excess of a risk-free asset
d.The correlation between the portfolio and a benchmark index
解析
Standard deviation is a statistical measure of total volatility, showing how widely returns are dispersed around their average. Sensitivity to the market is measured by beta, and excess return over the risk-free rate relates to alpha or the risk premium. Correlation is a separate measure of co-movement between two series.
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