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Performance & Risk: Miscellaneous Which of the following is TRUE? of the average return is 6% the risk-free rate/return is 1%, and the standard deviation of returns is 10%, then the Sharpe ratio is 0.50 If the sector weights and style characteristics (eg. P/E) of a portfolio are exactly the same as a benchmark, then you'd expect the tracking error to be very HIGH If one cares about losing money, one would prefer a portfolio with value at risk of 10% over a portfolio with value at risk of 0% The goal of risk management is to completely eliminate risk 0 A tracking error of 100 bp suggests that a portfolio has MORE relative risk Ce, retums are less like the benchmark) than a tracking error of 500 bp