Which portfolio has the highest Sharpe ratio?

a. P

b. Q

c. R

d. S.

A pension fund administrator wants to evaluate the performance of four portfolio managers. Each manager invests only in U.S. common stocks. During the most recent five-year period, the average annual total return on the S&P 500 was 14 percent and the average annual rate on Treasury bills was 8 percent. The table above shows risk and return measures for each portfolio.

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Portfolio P R S S&P 500 Risk and Return Data Average Return 17% 24 11 16 14 Standard Deviation 20% 18 10 14 12 Beta 1.1 2.1 .5 1.5 1.0