Coefficient of variation

CFA Level I
#1

Mean excess return: 8% Standard deviation of annual returns: 18% Portfolio beta: 1.5 Is there a way to determine coefficient of variation from the above information? Thanks everyone.

#2

cv = sigma / mu = 8/18 = .4444

#3

I don’t know about that. That’s excess return in the denominator but std dev of returns (not excess returns) in the numerator. Not what I would do…

#4

Wrong choice… did a re-read once you pointed it out. Thanks, Joey.

#5

hmm… Probably we need more information to compute it. Thanks cpk & Brian.

#6

Sondin, the return on market portfolio and risk free rates r missing. Once u have it, u will know ur R given the Beta.

#7

Ok. Got it. Thanks Maparam.

#8

need Rf and Rm

#9

need Rf and Rm to apply CAPM and get Er me thinks

#10

what is coefficient of variation again? are we talking about beta?

#11

sd/mean

#12

the measure of how much dispersion there is relative to the mean of a distribution.