Suppose Two Portfolios Have the Same Average Return and the Same

question 3

Multiple Choice

Suppose two portfolios have the same average return and the same standard deviation of returns, but Roll Tide Fund has a higher beta than Arc Fund. According to the Sharpe measure, the performance of Roll Tide Fund

• A) is better than the performance of Arc Fund.
• B) is the same as the performance of Arc Fund.
• C) is poorer than the performance of Arc Fund.
• D) cannot be measured as there are no data on the alpha of the portfolio.

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