Q5. A portfolio has a return of 14.2% and a Sharpe’s measure of 3.52. If the risk-free rate is 4.7%, what is the standard deviation of returns? A) 3.9%. B) 2.7%. C) 2.6%.
Q6. Portfolio A earned a return of 10.23% and had a standard deviation of returns of 6.22%. If the return over the same period on Treasury bills (T-bills) was 0.52% and the return to Treasury bonds (T-bonds) was 4.56%, what is the Sharpe ratio of the portfolio? A) 1.56. B) 0.56. C) 0.91.
Q7. The mean monthly return on U.S. Treasury bills (T-bills) is 0.42%. The mean monthly return for an index of small stocks is 4.56%, with a standard deviation of 3.56%. What is the Sharpe measure for the index of small stocks? A) 16.56%. B) 1.16%. C) 10.60%.
Q8. Which of the following statements regarding the Sharpe ratio is most accurate? The Sharpe ratio measures: A) peakedness of a return distrubtion. B) excess return per unit of risk. C) total return per unit of risk.
Q9. Portfolio A earned an annual return of 15% with a standard deviation of 28%. If the mean return on Treasury bills (T-bills) is 4%, the Sharpe ratio for the portfolio is: A) 0.54. B) 0.39. C) 1.87.
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发表于 2009-1-8 17:48
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