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 | 
发表于 2008-6-19 15:47
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