A Portfolio Has a Beta of 1

question 61

Multiple Choice

A portfolio has a beta of 1.16,a standard deviation of 12.2 percent,and an expected return of 11.55 percent.The market return is 10.4 percent and the risk-free rate is 3.2 percent.What is the portfolio's Sharpe ratio?

• A) 0.57
• B) 0.68
• C) 0.73
• D) 0.77
• E) 0.85

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Definitions:

Expectations

Beliefs about what will happen in the future, often based on experience, understanding, or projections.

Performance

The act of executing a task or function, or the process of performing; often measured against preset known standards of accuracy, completeness, speed, and efficiency.

Race

A social construct used to categorize humans into large and distinct populations or groups by heritable physical characteristics, geographical ancestry, culture, history, and language.

Gender

Pertains to the social, cultural, and personal traits and roles associated with being male or female, going beyond the biological differences.