The beta of an active portfolio is 1.20. The standard deviation of the returns on the market index is 20%. The nonsystematic variance of the active portfolio is 1%. The standard deviation of the returns on the active portfolio is
A) 3.84%.
B) 5.84%.
C) 19.60%.
D) 24.17%.
E) 26.0%.
Correct Answer:
Verified
Q2: Even low-quality forecasts have proven to be
Q3: The Treynor-Black model requires estimates of
A) alpha/beta.
B)
Q4: If a portfolio manager consistently obtains a
Q5: Tracking error is defined as
A) the difference
Q6: Passive portfolio management consists of
A) market timing.
B)
Q7: Alpha forecasts must be _ to account
Q8: Active portfolio management consists of
A) market timing.
B)
Q9: _ can be used to measure forecast
Q10: Benchmark risk
A) is inevitable and is never
Q11: Active portfolio managers try to construct a
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