You are analyzing the performance of an equity portfolio that happens to contain only-Brazilian and Chinese stocks, each with a 50% weighting. You calculate the following (annualized) variances: Based upon this information alone, what can you conclude? A. The realized correlation between the Brazilian and Chinese sub-portfolios was negative B. The realized correlation between these two sub-portfolios was approximately zero C. The Sharpe ratio of the full portfolio was higher than the Sharpe ratios of either sub-portfolio D. Not enough information has been provided Which of the following statements is not assumed to hold under CAPM? A. The higher the firm's beta, the higher its "specific risk" B. Idiosyncratic risk is not present in the market portfolio C. The systematic risk of a stock is reflected in its beta D. Investors are rational within a mean-variance utility framework Assume Stock Z has an expected return of 12%, an expected annualized volatility of 20%, and an expected correlation with the equity market of 6. Further assume the equity market has an expected return of 10% and an expected annualized volatility of 18%. The estimated beta of Stock Z is: A. 60 B. 67 C. 75 D. 83 Which of the following statements might be considered to be a legitimate concern regarding the efficacy of Fama-French factors as predictors of future equity returns? A. The statistical analysis used to uncover these factors used only favorable data samples B. Fama-French factors cannot be reconciled with the CAPM C. Since Fama-French factors are by now well known., market participants adjust their valuation estimates to account for these factors D. Fama-French factors do not take into account momentum and other factors identified by Arbitrage Pricing Theory