Quantitative Methods Q133
0. An analyst gathered the following information on a common stock portfolio:
| Arithmetic mean return | 15.0% |
| Geometric mean return | 13.2% |
| Portfolio beta | 1.22 |
| Risk-free rate of return | 5.0% |
| Variance of returns | 520 |
From the given information, the Sharpe Ratio is closest to:
- Option : B
- Explanation : The Sharpe Ratio is: (Return on portfolio – Risk free return)/ (Standard deviation of portfolio) = (15.0 – 5.0) / sqrt (520) = 0.44.
