CFA Level I · CFA Level I Exam · Statistical Characteristics of Asset Returns
A data set of monthly returns has a mean of 1.2%, a median of 0.8% and a mode of 0.5%. The distribution is most likely:
The distribution is most likely positively skewed because the mean (1.2%) exceeds the median (0.8%), which exceeds the mode (0.5%). A long right tail pulls the mean above the median. Symmetry would require equal values, and negative skew would reverse the order.
- ASymmetrical
- BNegatively skewed
- CPositively skewedCorrect
Explanation
For a positively skewed distribution, mean > median > mode, which matches the data. A symmetrical distribution would have all three equal, and negative skew reverses the order.
Did you get it right without looking?
One question tells you little. A timed set on Statistical Characteristics of Asset Returns shows your real accuracy, how long you take and where you lose marks.
More Statistical Characteristics of Asset Returns questions
- For a return distribution with positive skewness, the relationship among the mean, median, and mode is best described as:
- An analyst wants a single measure of the typical annual growth of an investment whose value compounds over several years with varying return…
- The sample standard deviation of Asset M's returns is 12% and that of Asset N's returns is 5%. The correlation between the two is -0.40. If …
- A risk analyst compares a histogram of daily returns with a Q-Q plot against the normal distribution. The plotted points curve upward above …
- The covariance between the returns of Asset A and Asset B is 0.0048. The standard deviation of Asset A is 8% and that of Asset B is 10%. The…
- The covariance between the returns of Asset X and Asset Y is 0.0060. The standard deviation of X returns is 0.20 and the standard deviation …