Questions from General Investment

Q: The correlation between the Charlottesville International Fund and the EAFE Market Index

The correlation between the Charlottesville International Fund and the EAFE Market Index of international stocks is 1.0. The expected return on the EAFE Index is 11%, the expected return on Charlottes...

Q: The concept of beta is most closely associated with: a

The concept of beta is most closely associated with: a. Correlation coefficients. b. Mean-variance analysis. c. Nonsystematic risk. d. Systematic risk.

Q: Beta and standard deviation differ as risk measures in that beta measures

Beta and standard deviation differ as risk measures in that beta measures: a. Only unsystematic risk, while standard deviation measures total risk. b. Only systematic risk, while standard deviation me...

Q: The security market line depicts: a. A security’s expected

The security market line depicts: a. A security’s expected return as a function of its systematic risk. b. The market portfolio as the optimal portfolio of risky securities. c. The relationship betwee...

Q: Within the context of the capital asset pricing model (CAPM),

Within the context of the capital asset pricing model (CAPM), assume: Expected return on the market = 15% Risk-free rate = 8% Expected rate of return on XYZ security = 17% Beta of XYZ security = 1.25...

Q: What is the expected return of a zero-beta security?

What is the expected return of a zero-beta security? a. Market rate of return. b. Zero rate of return. c. Negative rate of return. d. Risk-free rate of return.

Q: Capital asset pricing theory asserts that portfolio returns are best explained by

Capital asset pricing theory asserts that portfolio returns are best explained by: a. Economic factors. b. Specific risk. c. Systematic risk. d. Diversification.

Q: According to CAPM, the expected rate of return of a portfolio

According to CAPM, the expected rate of return of a portfolio with a beta of 1.0 and an alpha of 0 is: a. Between rM and rf . b. The risk-free rate, rf . c. β(rM – rf ). d. The expected return on the...

Q: Richard Roll, in an article on using the capital asset pricing

Richard Roll, in an article on using the capital asset pricing model (CAPM) to evaluate portfolio performance, indicated that it may not be possible to evaluate portfolio management ability if there i...

Q: Refer to the following table, which shows risk and return measures

Refer to the following table, which shows risk and return measures for two portfolios. When plotting portfolio R in the preceding table relative to the SML, portfolio R lies: a. On the SML. b. Below t...