答案和详解如下： 6、Portfolio A earned an annual return of 15 percent with a standard deviation of 28 percent. If the mean return on Treasury bills (T-bills) is 4 percent, the Sharpe ratio for the portfolio is: A) 0.54. B) 0.39. C) 1.87. D) 2.54. The correct answer was B) (15-4) / 28 = 0.39 7、Which of the following statements regarding the Sharpe ratio is TRUE? The Sharpe ratio measures: A) excess return per unit of risk. B) total return per unit of risk. C) dispersion relative to the mean. D) peakedness of a return distrubtion. The correct answer was A) The Sharpe ratio measures excess return per unit of risk. Remember that the numerator of the Sharpe ratio is (portfolio return – risk free rate), hence the importance of excess return. Note that dispersion relative to the mean is the definition of the coefficient of variation, and the peakedness of a return distribution is measured by kurtosis. 8、The mean monthly return on U.S. Treasury bills (T-bills) is 0.42 percent. The mean monthly return for an index of small stocks is 4.56 percent, with a standard deviation of 3.56 percent. What is the Sharpe measure for the index of small stocks? A) 10.60%. B) 16.56%. C) 1.16%. D) 3.48%. The correct answer was C) The Sharpe ratio measures excess return per unit of risk. (4.56 – 0.42)/3.56 = 1.16%. 9、Portfolio A earned a return of 10.23 percent and had a standard deviation of returns of 6.22 percent. If the return over the same period on Treasury bills (T-bills) was 0.52 percent and the return to Treasury bonds (T-bonds) was 4.56 percent, what is the Sharpe ratio of the portfolio? A) 0.56. B) 0.91. C) 7.71. D) 1.56. The correct answer was D) Sharpe ratio = (Rp – Rf) / σp, where (Rp – Rf) is the difference between the portfolio return and the risk free rate, and σp is the standard deviation of portfolio returns. Thus, the Sharpe ratio is: (10.23 – 0.52) / 6.22 = 1.56. Note, the T-bill rate is used for the risk free rate. | 
发表于 2008-4-8 18:18
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