a The risk of the diversified portfolio consists primarily of systematic risk

A the risk of the diversified portfolio consists

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21.a.The risk of the diversified portfolio consists primarily of systematic risk. Beta measures systematic risk, which is the slope of the security characteristic line (SCL). The two figures depict the stocks' SCLs. Stock B's SCL is steeper, and hence Stock B's systematic risk is greater. The slope of the 22. Using “Regression” command from Excel’s Data Analysis menu, we can run a regression of GM’s excess returns against those of S&P 500, and obtain the following data. The Beta of 23. A scatter plot results in the following diagram. The slope of the regression line is 2.0 and intercept is 1.0.
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Chapter 06 - Efficient Diversification 24. a. Regression output produces the following: alpha = 3.1792, beta = 1.3916, Residual St Dev = 11.5932 b. Sharpe Ratio of S&P = = – .6123/4.0316 = – .1519 c. Information Ratio = α G / σ ( e G ) = 3.1792/11.5932 = .2742 10
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Chapter 06 - Efficient Diversification CFA 1
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Chapter 06 - Efficient Diversification CFA 2 CFA 3 Answer:
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