27 28 29 Suppose you have the following data on 3 portfolios. One portfolio in risk-free assets, while another is in a merket portfolio and the third is in a mixed portfolio called A. Portfolio Expected Return Stand. Dev Risk Free 15.0% 0.00% Market Portfolio 25.0% 28.00% Portfolio A 20.0% 15.00% 30 31 32 Based on the CAPM that states Ri = rf + (Erm -rf)*Beta Compute the Sharpe Ratio for the Market Portfolio and the A Portfolio. Sharpe = (Eri - rf) / SD a. Sharpe Ratio for Portfolio A = .6666 Sharpe Ratio for Market Portfolio = .7357 b. Sharpe Ratio for Portfolio A = .3571 Sharpe Ratio for Market Portfolio = .3333 c. Sharpe Ratio for Portfolio A = .4444 Sharpe Ratio for Market Portfolio = .5371 d. Sharpe Ratio for Portfolio A = .3333 Sharpe Ratio for Market Portfolio = .3571