2008 CFA Level 1 － Sample 样题(2)－Q15 black, class, style

bingning

15、An analyst gathered the following information about a portfolio's performance over the past ten years:

Mean annual return	12.8%
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.	1.23	0.39
D.	1.23	0.47

A. Answer A

B. Answer B

C. Answer C

D. Answer D

[此贴子已经被作者于2008-11-7 13:41:57编辑过]

bingning

15、An analyst gathered the following information about a portfolio's performance over the past ten years:

Mean annual return	12.8%
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.	1.23	0.39
D.	1.23	0.47

A. Answer A

B. Answer B

C. Answer C

D. Answer D

  
Correct answer = D

"Statistical Concepts and Market Returns," Richard A. Defusco, Dennis W. McLeavey, Jerald E. Pinto, and David E. Runkel
2008 Modular Level I, Vol. 1, pp. 291-294
Study Session 2-7-h
define, calculate, and interpret the coefficient of variation and the Sharpe ratio
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 

fatiger

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刀剑如梦

非常感谢

isaisaisa

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oleander

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tannyyu

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vivivin

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lucylu

thanks