# Market Returns using standard deviation and beta

Please provide step by step instructions to complete the questions asked. This is the only information given in the book.

Suppose the standard deviation of the market return is 20%

A) What is the standard deviation of returns on a well-diversified portfolio with a beta of 1.3?

B) What is the standard deviation of returns on a well-diversified portfolio with a beta of 0?

C) A well-diversified portfolio has a standard deviation of 15%. What is its beta?

D) A poorly diversified portfolio has a standard deviation of 20%. What can you say about its beta?

https://brainmass.com/business/six-sigma/market-returns-standard-deviation-beta-426317

#### Solution Preview

a.

covariance = r * sigma m * sigma p

where

r = coefficient of correlation between returns of market and portfolio

sigma = standard deviation of returns for market and ...

#### Solution Summary

The solution determines the market returns using standard deviation and beta.