单选题 Both Portfolio X and Portfolio Y are well-diversified. The risk-free rate is 8 percent, and the return for the marker is 16 percent, that is: Portfolio Expected Return Beta X 16% 1.00 Y 12% 0.25 In this situation, which of the following Correlation of Returns about Portfolio X and Portfolio Y is true? Portfolio X Portfolio Y ①A. overvalued properly valued ②B. properly valued undervalued ③C. undervalued properly valued

A、

A. ①
B、

B. ②
C、

C. ③

【正确答案】 B

【答案解析】
The question says both portfolios are well diversified. This statement means that these portfolios will plot on the security market line. Their prices must be consistent with each other, since their only risk is market risk. You are not given the market return, but portfolio X has a beta of one so it should represent the market rate of return, 16%.
If X and Y are consistent with the CAPM, they should both plot on the SML.
E(R_X) =R_FR+β_X(R_mkt-R_FR)=0.08+1.0×(0.16-0.08)=0.16
E(R_Y)=R_FR+β_Y(R_mkt-R_FR)=0.08+0.25×(0.16-0.08)=0.10
The CAPM says X should offer 16% ; its expected return is 16%. It is properly priced. The CAPM says Y should offer 10% ; its expected return is 12%. It is undervalued.