A Portfolio Has an Average Return of 12

question 28

Multiple Choice

A portfolio has an average return of 12.4 percent,a standard deviation of 15.8 percent,and a beta of 1.35.The risk-free rate is 2.6 percent.What is the Sharpe ratio?

• A) 0.49
• B) 0.52
• C) 0.62
• D) 0.71
• E) 0.75

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Definitions:

Portfolio

An assortment of financial assets comprising stocks, bonds, commodities, cash, and equivalents such as mutual funds and exchange-traded funds (ETFs).

Security B

A distinct category of financial assets that can include stocks, bonds, options, and futures, offering various investment and risk profiles.

Weights

Factors or coefficients that are assigned to elements of a calculation or model to determine their relative importance or impact.

Standard Deviation

A quantifiable statistical metric that indicates the degree of spread or variability in a dataset.