Assume That as a Portfolio Manager the Beta of Your

question 104

Multiple Choice

Assume that as a portfolio manager the beta of your portfolio is 1.2 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?
$\begin{array}{c}\begin{array}{lll}(1) \\(2) \end{array}\begin{array}{lll}\mathrm{RFR}=.09 \\\mathrm{R}_{\mathrm{K}}=.10\end{array}\begin{array}{lll}\mathrm{R}_{\mathrm{m}}(\mathrm{proxy}) =.12 \\\left.\mathrm{R}_{\mathrm{m}} \text { (true }\right) =.13\end{array}\end{array}$

• A) 2% lower
• B) 1% lower
• C) 5% lower
• D) 1% higher
• E) 2% higher

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Definitions:

Dyslexia

A learning disorder characterized by difficulties with accurate and/or fluent word recognition, poor spelling and decoding abilities, often due to a deficit in the phonological component of language.

Developmental Reading Disorder

Also known as dyslexia, a learning disorder characterized by difficulty reading due to problems identifying speech sounds and learning how they relate to letters and words.

Dyscalculia

A specific learning disability affecting a person's ability to understand numbers and learn math facts.

Piaget

A Swiss psychologist known for his pioneering work in child development, focusing on cognitive growth and the stages of development.