Answer true or false to the following statementsandbriefly justify your answer.

A. The standard deviation of a market capitalization weighted portfolio is equal to the weighted average of the standard deviations of the constituent stocks, where the weights are given by the market capitalizations of each stock.

B. To construct a mean/variance efficient portfolio you must assume that the efficient markets hypothesis holds.

C. Academic research shows that momentum trading strategies are profitable because market participants on average overreact to news.

D. Stocks can be sorted into value and growth using earnings-to-price ratios: stocks with low earnings-to-price ratios are referred to as growth stocks, and stocks with high earnings-to-price ratios are referred to as value stocks.

E.An oft-cited article by Brinson, Hood and Beebower shows that over 90% of the variability of returns across different funds (or differences in performance across funds) can be explained by policy asset allocation.

F. Treasury bonds provide good short-term protection against unanticipated inflation.