Which one of the following portfolios should have the most systematic risk?
A) 50% invested in Treasury bills and 50% in a market index fund.
B) 20% invested in Treasury bills and 80% invested in a stock with a beta of.80.
C) 10% invested in a stock with a beta of 1.0 and 90% invested in a stock with a beta of 1.40.
D) 100% invested in a mutual fund which mimics the overall market.
E) 100% invested in Treasury bills.

Question

Quizplus · Accepted Answer

Portfolio C has the most systematic risk because it is heavily invested in stocks with high beta values (1.0 and 1.40), indicating a higher sensitivity to market movements compared to the other options.

Which One of the Following Portfolios Should Have the Most