The probability of returns less than −10%, assuming a normal distribution with expected return of 6.5% and standard deviation of 10%, is: A. less than 2.5%. B. approximately 10%. C. not defined with only this information. D. approximately 5%.
−10 is 16.5% below the mean return, (16.5 / 10) = 1.65 standard deviations, which leaves approximately 5% of the possible outcomes in the left tail below −10%.
