Assume That as a Portfolio Manager the Beta of Your

question 19

Multiple Choice

Assume that as a portfolio manager the beta of your portfolio is 0.85 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML?

• A)1.33% higher
• B)2.35% lower
• C)8% lower
• D)1.33% lower
• E)2.35% higher

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Definitions:

One-Way ANOVA

A statistical test that compares the means of three or more independent groups to determine if there are any statistically significant differences among the groups.

Rejection Region

The range of values for which the null hypothesis is not considered plausible and is rejected in hypothesis testing.

Single-Factor ANOVA

A statistical technique used to compare the means of three or more samples using variance analysis on a single independent variable.

Test Statistic

A calculated value used in statistical hypothesis testing to determine whether to reject the null hypothesis.