Which of the Following Statements Is FALSE

question 26

Multiple Choice

Which of the following statements is FALSE?

• A)Rather than relying on the efficiency of a single portfolio (such as the market),multifactor models rely on the weaker condition that an efficient portfolio can be constructed from a collection of well-diversified portfolios or factors.
• B)A positive alpha in a single-factor model means that the portfolios that implement the trading strategy capture risk that is not captured by the market portfolio.
• C)Multifactor models have a distinct advantage over single-factor models in that it is much easier to identify a collection of portfolios that captures systematic risk than just a single portfolio.
• D)Trading strategies based on market capitalization,book-to-market ratios,and momentum have been developed that appear to have zero alphas.

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