Question
Portfolio returns, in %, over the first six months of a year were 0.23, 0.83, 0.33, 0.37, 1.36, and -0.43. The benchmark returns over the
Portfolio returns, in %, over the first six months of a year were 0.23, 0.83, 0.33, 0.37, 1.36, and -0.43. The benchmark returns over the same six months were 0.2, 0.79, -0.79, 0.34, 1.79, and 0.11, respectively. What is the portfolio's monthly (i.e., NOT annualized) Sharpe ratio over the period if the average monthly (i.e., NOT annualized) risk-free rate was 0.202%?
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Cases In Financial Reporting
Authors: Ellen Engel, D. Eric Hirst, Mary Lea McAnally
7th Edition
1934319791, 9781934319796
