The systematic risk of the market is assigned a
A)beta of 1.
B)beta of 0.
C)standard deviation of 1.
D)standard deviation of 0.
E)variance of 1.

Question

Quizplus · Accepted Answer

The systematic risk of the market is measured by its beta, which is always assigned a value of 1. Beta measures the sensitivity of a stock or portfolio's returns compared to the market as a whole. A beta greater than 1 indicates the stock/portfolio is more volatile than the market, while a beta less than 1 indicates the stock/portfolio is less volatile than the market. A beta of 1 means the stock/portfolio has the same level of volatility as the market. Therefore, choice A is the correct answer.

The Systematic Risk of the Market Is Assigned a