题目
Consider the following already-annualized statistics for portfolio (P):
Risk-free rate = 2.00%
Realized portfolio (P) return (average) = 9.50%
Portfolio (P) excess return = 9.50% - 2.00% = 7.50%
Standard deviation of portfolio (P) returns = 14.70%
Minimum acceptable return (MAR) = 6.00%
Downside deviation of portfolio (P) returns = 5.60%
Which are nearest, respectively, to the Sharpe measure and Sortino ratio?
选项
A.0.280 (Sharpe) and 0.100 (Sortino)
B.0.350 (Sharpe) and 0.433 (Sortino)
C.0.510 (Sharpe) and 0.625 (Sortino)
D.0.740 (Sharpe) and 1.290 (Sortino)
答案
C
解析
Sharpe ratio=0.0750/0.1470 = 0.510Sortino Ratio=(9.50%-6.00%)/5.60%=0.6250夏普比率=0.0750/0.1470 = 0.510Sortino Ratio=(9.50%?6.00%)/5.60%=0.6250