Which of the following portfolios achieved the highest risk adjusted return? Why?

Portfolio One:

Expected Return: 5.3%.

Standard Deviation: 3.5%

Sharpe: (5.3%-2.5%)/3.5%=0.8

Portfolio Two:

Expected Return: 6.6%

Standard Deviation: 6.2%

Sharpe: (6.6%-2.5%)/6.2% =0.66

Portfolio Three:

Expected Return: 7.2%

Standard Deviation: 6.6%

Sharpe: (7.2%-2.5%)/6.6%=0.71