A Portfolio Has a Beta of 1

question 100

Multiple Choice

A portfolio has a beta of 1.23 and a standard deviation of 11.6%. What is the Sharpe ratio if the market return is 12.4% and the market risk premium is 7.9%?

• A).073
• B).118
• C).655
• D).838
• E).902

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Definitions:

Coping Skills

Techniques or methods used by individuals to manage stress, adversity, or emotions, enabling the navigation through difficult situations effectively.

Work Rate

The efficiency and speed at which an individual or machine performs a task or duty.

Selective Optimization

A strategy of focusing on and maximizing strengths or opportunities, while minimizing weaknesses or losses, often used in developmental psychology.

Compensation

Payment or reward given for service, achievement, harm, or loss, often pertaining to employment or legal restitution.