Question #29

Reading: Reading 36 Using Multifactor Models

PDF File: Reading 36 Using Multifactor Models.pdf

Page: 14

Status: Incorrect

Correct Answer: A

Your Answer: B

Part of Context Group: Q29-30 First in Group
Shared Context
- The actual return of Merci is closest to: A) 9%. B) 10%. C) 11%.
Question
Using Exhibit 2, the portfolio that has the most exposure to asset selection risk is:
Answer Choices:
A. EM
B. EC
C. EV
Explanation
Asset selection risk is also known as active specific risk. Portfolio EV has the highest risk at 14.4.
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