Multiple Choice
Shares A and B have alphas of .01 and betas of .90. Share A has a residual variance of .020 while share B has a residual variance of .016. If Share A represents 2% of an active portfolio, share B should represent ________ of an active portfolio.
A) 1.6%
B) 2.0%
C) 2.2%
D) 2.5%
Correct Answer:
Verified
Correct Answer:
Verified
Q4: A managed portfolio has a standard deviation
Q5: In the Treynor-Black model, the weight of
Q6: The average returns, standard deviations and betas
Q11: The risk-free rate, average returns, standard deviations
Q12: A portfolio generates an annual return of
Q13: The portfolio that contains the benchmark asset
Q14: Perfect timing ability is equivalent to having
Q19: The M<sup>2</sup> measure is a variant of
Q23: A portfolio generates an annual return of
Q31: The table presents the actual return of