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:

Labor Rate Variance

The difference between the actual labor rate paid and the standard or expected labor rate, impacting the total cost of production.

September

September, as identified in the Gregorian calendar system.

Materials Quantity Variance

The difference between the actual amount of materials used in production and the expected amount, which can indicate efficiency or waste in the use of raw materials.

June

The sixth month of the year in the Gregorian calendar, known for marking the beginning of summer in the Northern Hemisphere.