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Assume that as a portfolio manager the beta of your portfolio is 1.1 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML? (1) RFR = .07 Rm(proxy) = .15 %3D (2) RK = .06 %3D Rm(true)=.12 6.4 percent lower 4.9 percent lower 3.2 percent lower 6.4 percent higher 3.2 percent higher

Assume that as a portfolio manager the beta of your portfolio is 1.1 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML? (1) RFR = .07 Rm(proxy) = .15 %3D (2) RK = .06 %3D Rm(true)=.12 6.4 percent lower 4.9 percent lower 3.2 percent lower 6.4 percent higher 3.2 percent higher

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
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Assume that as a portfolio manager the beta of your portfolio is 1.1 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML? (1) RFR .07 Rm(proxy) .15 (2) RK = .06 R„(true)=.12 6.4 percent lower 4.9 percent lower 3.2 percent lower 6.4 percent higher O 3.2 percent higher
Transcribed Image Text:Assume that as a portfolio manager the beta of your portfolio is 1.1 and that your performance is exactly on target with the SML data under condition 1. If the true SML data is given by condition 2, how much does your performance differ from the true SML? (1) RFR .07 Rm(proxy) .15 (2) RK = .06 R„(true)=.12 6.4 percent lower 4.9 percent lower 3.2 percent lower 6.4 percent higher O 3.2 percent higher
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