Which of the following statements is FALSE? Group of answer choices
Risk parity strategies seek to balance risk across the following capital market exposures and broad asset classes:
- Global Growth as represented by global equities & corporate bond spreads
- Global Interest Rates as represented by long-term global government bonds
- Inflation as represented by commodities & TIPS
Extending the CAPM is a useful way to explain a portfolio's return in terms of other risk factors besides beta. Such risk factors may include size, style, momentum, among others
In the Active vs. Passive Debate article by R. Jones, since most active managers fail to consistently outperform the benchmark, markets would be better off if ALL participants were to invest passively.
CAPM assumes a portfolio's return is driven solely by one factor - the portfolio's systematic risk versus the market as measured by its beta
A key pitfall of Modern Portfolio Theory is that the composition of the optimal risky portfolio is highly sensitive to return forecasts.