Returns on a portfolio of large stocks

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A. The returns on the largest stocks are typically more volatile than the returns on a portfolio of large stocks.

B. Portfolio betas for an industry are usually higher than the average betas of individual stocks in that same industry.

C. If investors have homogeneous expectations, then each investor will identify the same portfolio as having the highest Sharpe ratio in the economy.

D. A trading strategy that each year short sells portfolio S (small stocks) and buys portfolio B (big stocks) has produced positive risk adjusted returns historically. This self-financing portfolio is widely known as the small minus big (SMB) portfolio.

Reference no: EM132484009

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