why the bond has higher probability of Negative Return ?

CFA Level I Quant
#1

An analyst develops the following capital market projections.

Stocks** Bonds** Mean Return 10% 2% Standard Deviation 15% 5%

Assuming the returns of the asset classes are described by normal distributions, which of the following statements is correct?

  1. On average 99% of stock returns will fall within ± 30% from the mean.
  2. Bonds have a higher probability of a negative return than do stocks.
  3. The probability of a bond return ≤ 3% is determined using a Z-score of 0.25.
#2

The probability of a negative stock return is P(z < −10/15)

The probability of a negative bond return is P(z < −2/5) = P(z < −6/15)

As −6/15 > −10/15, the latter is greater than the former.