Question
Your investment portfolio had an annualized standard deviation of 40%, a beta of 1.4, an expected annual return of 12%, and an actual annual return
Your investment portfolio had an annualized standard deviation of 40%, a beta of 1.4, an expected annual return of 12%, and an actual annual return of -7%. The average annual risk-free rate in the economy during that period was 3%. What was your portfolio's Sharpe Ratio?
Answer: -0.250
I want to see how to work out the problem. Answer is not (.12-.03)/.04=.225
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Public Finance And Public Policy
Authors: Jonathan Gruber
6th Edition
1319105254, 9781319105259
