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Chartered Financial Analyst Level 1

Chartered Financial Analyst Level 1

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An analyst evaluates three stocks with the following characteristics:

  • Stock 1: Beta = 0.9, Standard Deviation of Returns = 17%
  • Stock 2: Beta = 1.1, Standard Deviation of Returns = 18%
  • Stock 3: Beta = 1.2, Standard Deviation of Returns = 16% If the standard deviation of market returns is 10%, which stock has the highest nonsystematic risk?

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