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

question 10

Multiple Choice

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

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

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