Assume That as a Portfolio Manager the Beta of Your

question 111

Multiple Choice

Assume that as a portfolio manager the beta of your portfolio is 1.15 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?
$\begin{array}{c}\begin{array}{c}(1) \\(2) \end{array}\begin{array}{l}\mathrm{RFR}=0.0625 \\\mathrm{R}_{\mathrm{K}}=0.078\end{array}\begin{array}{l}\mathrm{R}_{\mathrm{m}}(\text { proxy }) =0.12 \\\mathrm{R}_{\mathrm{m}}(\text { true }) =0.10\end{array}\end{array}$

• A) 2.53% lower
• B) 3.85% lower
• C) 2.53% higher
• D) 4.4% higher
• E) 3.85% higher

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Definitions:

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Type of white blood cell; small phagocytic white blood cell with a lobed nucleus and small granules in the cytoplasm.

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A type of lymphocyte that plays a major role in the rejection of tumors and cells infected by viruses by directly killing them.