题目
If the risk-free rate is equal to zero and the mean is less than the standard deviation, compared with Sharp ratio, the coefficient of variation is:
选项
A.Greater.
B.Same.
C.Less.
答案
A
解析
Sharpe ratio = [expected return (mean) – risk-free rate]/standard deviation=mean/standard deviation; CV=standard deviation/expected return. The mean is less than the standard deviation, so compared with Sharp ratio, the coefficient of variation is greater. 夏普比率=[预期回报（平均值）-无风险比率]/标准差=平均值/标准差； 变异系数=标准差/预期回报。 与标准差相比，变异系数的值更大。