Relying on the efficiency of a single portfolio

Assignment Help Financial Management

Reference no: EM131048610

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.

Reference no: EM131048610

Questions Cloud

Calculate kfor these reactions at 25? and 500 : The reaction of CH4 and O2 to form C2H6 and H2O must be carried out carefully to avoid a competing reaction. What is the most likely competing reaction?

Weighted average implied by two outstanding debt issues : Filer Manufacturing has 7.4 million shares of common stock outstanding. The current share price is $44, and the book value per share is $5. Filer Manufacturing also has two bond issues outstanding. Assume that the overall cost of debt is the weighted..

More volatile than the annual rate of return : Over the period of 1926 through 2008, the annual rate of return on _____ has been more volatile than the annual rate of return on_____. .

Find the current yield-capital gains yield and total yield : The Pennington Corporation issued a new series of bonds on January 1, 1993. The bonds were sold at par ($1,000), had a 12% coupon, and will mature in 30 years on December 31, 2022. Find the current yield, capital gains yield, and total yield on Janua..

Relying on the efficiency of a single portfolio : 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.

Evaluating purchasing line of cement mixing trucks : McClellan Cement is evaluating purchasing a line of cement mixing trucks. McClellan can either purchase new trucks that will produce $70,000 per year for five years, or used trucks that will produce $60,000 per year for five years. Which project has ..

Effective interest rate will she receive on her investment : A $25,000 par value bond which carries a 16% bond dividend rate and pays dividends quarterly is being offered for sale. The bond will mature eight years after it is sold. what effective interest rate will she receive on her investment?

Which bond has the greater interest rate risk : Given two comparable bonds A and B with par values of $1000. Both bonds mature in twenty years. Bond A has a coupon rate of 15%. Bond B has a coupon rate of 9%. Which bond has the greater interest rate risk?.

Attempt green-field speculations : While thinking about FDI, why do firms obviously want to obtain existing resources instead of attempt green-field speculations?

User Account

All Pages