The risk-return performance for a portfolio that you manage and its corresponding benchmark for a given month
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Question:
The risk-return performance for a portfolio that you manage and its corresponding benchmark for a given month is as follows:
Portfolio | Benchmark | |
Return (%) | 2.0 | 2.1 |
Standard Deviation (%) | 1.1 | 1.3 |
If both the portfolio and the benchmark has a beta of 0.8 and the 30-day Treasury bill return is 0.2%, comparing the Sharpe and Treynor measures for the portfolio to the corresponding measures for its benchmark would indicate that the portfolio had:
-inferior risk-adjusted performance.
-risk-adjusted performance that was not clearly inferior or superior.
-fair risk-adjusted performance.
-superior risk-adjusted performance.
Related Book For
Essentials of Corporate Finance
ISBN: 978-0078034756
8th edition
Authors: Stephen Ross, Randolph Westerfield, Bradford Jordan
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