1. Your investment portfolio had an annualized standard deviation of 28%, a beta of 1.1, an expected annual return of 11%, and an actual annual return of -20%. The average annual risk-free rate in the economy during that period was 4%. What was your portfolio's Sharpe Ratio? Write your answer out to three decimals - for example, write 16.2% as .162.

2. Your investment has a standard deviation of per-period returns of 33%. What is the standard deviation over 5 periods? Write your answer out to three decimals.

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1 Sharpe Ratio Expected annual return Riskfree rate Portfolios standa... View the full answer