Which of the following is the best measure of the systematic risk in a portfolio?
A) variance
B) standard deviation
C) covariance
D) beta

Question

Quizplus · Accepted Answer

Beta is the best measure of systematic risk in a portfolio as it measures the sensitivity of the portfolio's returns to the overall market returns, thus capturing the systematic risk. Variance, standard deviation, and covariance do not specifically capture systematic risk and are better suited for measuring total risk or specific risk.

Which of the Following Is the Best Measure of the Systematic