A portfolio has a variance of .0165, a beta of 1.05, and an expected return of 12.65%. What is the Sharpe ratio if the expected risk-free rate is 3.4%?
A).662
B).706
C).720
D).823
E).869

Question

Quizplus · Accepted Answer

The Sharpe ratio is calculated as (Expected Return - Risk-Free Rate) / Standard Deviation. First, calculate the standard deviation as the square root of the variance: √0.0165 ≈ 0.128. Then, use the formula: (12.65% - 3.4%) / 0.128 ≈ 0.720.

A Portfolio Has a Variance of