A portfolio with a level of systematic risk the same as that of the market has a beta that is
A) equal to zero.
B) equal to one.
C) less than the beta of the risk-free asset.
D) less than zero.

Question

Quizplus · Accepted Answer

A portfolio with the same systematic risk as the market has a beta of one, which means its returns move in line with those of the overall market. Beta can never be negative, and an asset with a beta of zero would have no systematic risk. The beta of a risk-free asset is by definition zero, so it cannot be greater than a portfolio with a beta of one.

A Portfolio with a Level of Systematic Risk the Same