Solved

The Beta of an Active Portfolio Is 1

Question 51

Multiple Choice

The beta of an active portfolio is 1.45. The standard deviation of the returns on the market index is 22%. The nonsystematic variance of the active portfolio is 0.03. The standard deviation of the returns on the active portfolio is


A) 36.30%.
B) 5.84%.
C) 19.60%.
D) 24.17%.
E) 26.0%.

Correct Answer:

verifed

Verified

Unlock this answer now
Get Access to more Verified Answers free of charge

Related Questions

Q42: One property of a risky portfolio that

Q43: If you begin with a _ and

Q44: Kane, Marcus, and Trippi (1999) show that

Q45: Consider these two investment strategies:

Q46: The beta of an active portfolio is

Q47: According to the Treynor-Black model, the weight

Q48: Kane, Marcus, and Trippi (1999) show that

Q49: Even low-quality forecasts have proven to be

Q50: Active portfolio management consists of<br>A) market timing.<br>B)

Q52: Perfect timing ability is equivalent to having