An analyst gathered the following information: If the risk-free rate of return is 3.0 percent, the portfolio

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An analyst gathered the following information:

Standard Deviation of Returns (%) 19.9 Portfolio Mean Return (%) 9.8 20.3 10.5 33.9 13.3

If the risk-free rate of return is 3.0 percent, the portfolio that had the best risk-adjusted performance based on the Sharpe ratio is:
A. Portfolio 1.
B. Portfolio 2.
C. Portfolio 3.

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Quantitative Investment Analysis

ISBN: 978-1119104223

3rd edition

Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle

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Question Posted: Mar 21, 2018 05:47 AM

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An analyst gathered the following information: If the risk-free rate of return is 3.0 percent, the portfolio

Question:

Standard Deviation of Returns (%) 19.9 Portfolio Mean Return (%) 9.8 20.3 10.5 33.9 13.3

Step by Step Answer:

B is correct The Sharpe ratio is the mean excess return mean ret...View the full answer

Quantitative Investment Analysis

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