CFA Practice Question

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CFA Practice Question

Consistent with capital market theory, systematic risk ______

I. refers to the variability in all risky assets caused by macroeconomic and other aggregate market-related variables.
II. is measured by the coefficient of variation of returns on the market portfolio.
III. refers to non-diversifiable risk.
A. I only
B. I and III only
C. II and III only

User Contributed Comments 3

User Comment
murli It is measured by Cov./Variance of Market return, not by co-efficeint of variation (i.e.SD/mean)
chuong systematick risk = nondiversified risk
Unsystematick risk = diversified risk
CoffeeGirl beta is measured by covariance (i, M) / covariance (M, M)
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