[CFA level 1模拟真题]Version 4 Questions－Q15 face, return, excess, level, style

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Q15.    Mean excess return                   7.4%

Standard deviation of annual returns     15.7%

Portfolio beta                       1.2

The coefficient of variation and Sharpe measure, respectively, for the portfolio are closest to:

Coefficient of variation             Sharpe measure

A          0.82                              0.39

B          0.82                              0.47

C          1.32                              1.23

D          1.23                              0.47

A. Answer A

B. Answer B

C. Answer C

D. Answer D

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答案和详解如下：

Q15.   D     07 Modular Level I, Vol.1, pp289-292  Study Sessions 3-7-h

The coefficient. of variation is the standard deviation of returns divided by the mean return and the Sharpe ratio is the excess return divided by the standard deviation:  CV=15.7/12.8=1.23

Sharpe ratio=7.4/15.7=0.47

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