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.

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.

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%.

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.

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 = (R_p – R_f) / σ_p, where (R_p – R_f) is the difference between the portfolio return and the risk free rate, and σ_p 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.

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