In Returns-Based Style Analysis a Coefficient of Determination of 95

question 41

Multiple Choice

In returns-based style analysis a coefficient of determination of 95% would suggest that

• A) The portfolio manager outperformed 95% of his peers.
• B) The portfolio manager was outperformed by 95% of his peers.
• C) 95% of the portfolio return variability could be attributed to portfolio style.
• D) 95% of the portfolio return variability could be attributed to stock selection skills.
• E) 5% of the portfolio return variability could be attributed to portfolio style.

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Definitions:

Irrational Fear

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A hormone released by the adrenal glands in response to stress, playing a critical role in the body's fight-or-flight response.