Q1. A portfolio of options had a return of 22% with a standard deviation of 20%. If the risk-free rate is 7.5%, what is the Sharpe ratio for the portfolio? A) 0.568. B) 0.725. C) 0.147.
Q2. A higher Sharpe ratio indicates: A) lower volatility of returns. B) a lower risk per unit of return. C) a higher excess return per unit of risk.
Q3. Claude Bellow, CFA, is an analyst with a real estate focused investment firm. He asks his assistant to gather annual return information on a large office building and on a REIT (real estate investment trust) with diverse holdings. The following tables summarize the information. Table 1: Annual returns (in %) Asset Year 1 Year 2 Year 3 Year 4 Year 5 REIT 25.0 20.0 5.0 -5.0 13.0 Office Building 15.0 5.0 -5.0 -2.0 13.0 Table 2: Mean and Dispersion Information Asset Mean Return Variance REIT 11.6% 114.24 Office Building 5.2% 62.56 Calculated using the arithmetic mean.
Determine which of the following statements about the coefficient of variation of the two assets is least accurate. A) There is more dispersion relative to the mean in the distribution of the REIT returns when compared to the distribution of the returns for the office building. B) The coefficient of variation of the office building returns is approximately 1.52. C) The mean of the squared deviations from the arithmetic mean of the office building is less than that of the REIT.
Q4. A partner in the firm asks Bellow to calculate the Sharpe ratio for the REIT. If the risk-free rate is 5.0%, the Sharpe ratio is closest to: A) 0.62. B) 1.62. C) 0.06.
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发表于 2009-1-8 17:47
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