1.
If markets are strong-form efficient, the average return in the long-run on any (even actively managed) investment will be zero.
2.
According to the Random Walk Model, even an event that happened a long time ago can still be "felt" in today's prices (in the sense that, if the event had not happened, asset prices today would be different).
3.
According to the "Random Walk Model", the best prediction of an asset's future price is the long-run average of its price in the past.
4.
If markets are weak-form efficient, it is not worth paying a management fee to a fund manager who claims to "beat the market" by implementing "technical trading strategies".
5.
A portfolio of stocks with identical returns and volatilities will have the same expected return as, but lower volatility the constituent stocks.
6.
For diversification to have any effect at all, at least some of the portfolio's constituent stocks must have a negative correlation with one another.
7.
Diversification cannot work if all the stocks contained in the portfolio have identical high volatilities.
8.
The volatility that is caused by a systematic risk factor can only be reduced by diversification if the factor is negatively correlated with the business cycle.
9.
If there are two assets that are perfectly negatively correlated, you can firm a portfolio that has zero total risks.
10.
In the risk-return diagram, individual assets will always plot on or inside (i.e. to the right of) the efficient frontier.
11.
If you add an additional risky asset to an existing universe of risky assets, the GMV can only move to the north-east, but not to the west.
12.
If no short-selling is allowed, the expected return on any portfolio cannot exceed the maximum of the returns on the constituent assets.
13.
If no short-selling is allowed, the volatility of any portfolio cannot be lower than the minimum of the volatilities of the constituent assets.
14.
We have a risk-free asset, both expected return volatility of the optimal "tangency" portfolio are inversely related to the risk-free rate of interest.
15.
We have a risk-free asset, the optimal complete portfolio for two investors with different risk aversion coefficients will have different Sharpe ratios.
16.
A portfolio of stocks with identical betas and identical volatilities will have the same expected return as, but lower volatility than its constituent stocks.
17.
If you add a negative-beta asset to a portfolio of assets with positive betas, you ill reduce the portfolio's volatility but not its expected return.
18.
In the time-series formulation of the CAPM, "alpha" is a measure of an asset's idiosyncratic risk.
19.
Assets or portfolios with negative beta will always plot below the security markets line (SML).
20.
A bond's value is inversely related to interest rates (as proxied by the yield)
21.
A bond is valued at part if and only if the coupon rate and yield are equal.
22.
Other things being equal, a bond with a higher coupon rate will have a longer duration than an otherwise identical bond with lower coupons.
23.
Macaulay's duration of a zero-coupon is equal to the bond's maturity.
24.
If markets are strong-form efficient, the long-run average return on any (even actively managed) investment strategy will be zero.
25.
According to the "Random Walk Model", the best forecast of the next period's return on any asset is the return in the previous period.