题目
An analyst is evaluating the performance of a portfolio of Mexican equities that is benchmarked to the IPC Index. The analyst collects the information about the portfolio and the benchmark index shown in the table below:* Expected return on the portfolio 6.6%*Volatility of returns on the portfolio 13.1%* Expected return on the IPC Index 4.0%* Volatility of returns on the IPC Index 8.7%* Risk-free rate of return 1.5%* Beta of portfolio relative to IPC Index 1.4What is the Sharpe ratio for this portfolio?
选项
A.0.036
B.0.047
C.0.389
D.0.504
答案
C
解析
The Sharpe ratio for the portfolio is (6.6% - 1.5%)/13.1% = 0.389.组合的Sharpe ratio=(6.6% - 1.5%)/13.1% = 0.389.