- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 63. Portfolio Risk and Return: Part II
- Subject 2. Pricing of Risk and Computation of Expected Return
CFA Practice Question
Consistent with capital market theory, systematic risk ______
II. is measured by the coefficient of variation of returns on the market portfolio.
III. refers to non-diversifiable 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) |