foundation

anbu.edu
Finance Junkie
Posts: 205
Joined: Mon Feb 04, 2013 3:35 pm

foundation

Postby anbu.edu » Wed Oct 16, 2013 5:40 am

Marks: 1
Assume that a portfolio underperformed its benchmark by 2% in the most recent month. In this scenario,
Choose one answer.
a. Alpha may be positive or negative depending upon Beta of the portfolio. Correct
b. Alpha is 2%. Incorrect
c. Alpha is “-2%” as it refers to the Outperformance / Underperformance Gap. Incorrect
d. Due to underperformance, Alpha is definitely negative and cannot be positive. Incorrect
The correct answer is
The correct answer is Alpha may be positive or negative depending upon Beta of the portfolio.
Incorrect

If portfolio underperformed its benchmark by 2% that means alpha is -2% right
alpha=ER-EBR
Can anyone explain please

pradeeppdy
Finance Junkie
Posts: 258
Joined: Thu Sep 20, 2012 3:42 pm

foundation

Postby pradeeppdy » Fri Oct 18, 2013 9:46 am

No Ans D is correct, Because alpha may move anywhere depending upon the levels of beta and Risk free rate.


Return to “FRM Part I”



cron

Disclaimer

Global Association of Risk Professionals, Inc. (GARP®) does not endorse, promote, review or warrant the accuracy of the products or services offered by EduPristine for FRM® related information, nor does it endorse any pass rates claimed by the provider. Further, GARP® is not responsible for any fees or costs paid by the user to EduPristine nor is GARP® responsible for any fees or costs of any person or entity providing any services to EduPristine Study Program. FRM®, GARP® and Global Association of Risk Professionals®, are trademarks owned by the Global Association of Risk Professionals, Inc

CFA Institute does not endorse, promote, or warrant the accuracy or quality of the products or services offered by EduPristine. CFA Institute, CFA®, Claritas® and Chartered Financial Analyst® are trademarks owned by CFA Institute.

Utmost care has been taken to ensure that there is no copyright violation or infringement in any of our content. Still, in case you feel that there is any copyright violation of any kind please send a mail to abuse@edupristine.com and we will rectify it.