Suppose Two Portfolios Have the Same Average Return and the Same

question 40

Multiple Choice

Suppose two portfolios have the same average return and the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A

• A) is better than the performance of portfolio B.
• B) is the same as the performance of portfolio B.
• C) is poorer than the performance of portfolio B.
• D) cannot be measured as there are no data on the alpha of the portfolio.
• E) None of the options are correct.

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Definitions:

Francis Galton

A 19th-century English polymath who made significant contributions to fields like statistics, psychology, and anthropology.

Statistical Methods

Techniques and processes used for collecting, analyzing, interpreting, and presenting data.

SPSS

A software package used for statistical analysis and data management.

Analytic Tools

Software or methodologies utilized for examining, processing, and extracting valuable information from data.