- CFA Exams
- CFA Level I Exam
- Topic 1. Quantitative Methods
- Learning Module 5. Portfolio Mathematics
- Subject 1. Portfolio Expected Value and Variance of Return
CFA Practice Question
Covariance of returns is zero ______
A. when the return on one asset is below its expected value and the return on the other asset is also below its expected value.
B. if returns on the assets are unrelated.
C. when the co-movement between random variables is linear.
Explanation: Covariance of returns is zero if returns on the assets are unrelated.
User Contributed Comments 1
| User | Comment |
|---|---|
| mc25456 | covariance of return is zero if returns on the assets are unrelated. |