Question
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of
The expected returns, standard deviations, and betas for three funds are given below along with data for the S&P 500 index. The risk-free rate of return is 4%
| Portfolio | Expected return | Standard deviation | Beta |
| A | 11.6% | 30% | 1.1 |
| B | 11.1% | 25% | 1.0 |
| C | 10.4% | 30% | 1.3 |
| S&P 500 | 9% | 15% | 1.0 |
Which portfolio has the highest Sharpe ratio?
| A. | Portfolio A | |
| B. | Portfolio B | |
| C. | Portfolio C | |
| D. | S&P 500 portfolio |
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Essential Mathematics For Economic Analysis
Authors: Knut Sydsaeter, Peter Hammond, Arne Strom
4th Edition
0273760688, 9780273760689
