Suppose two portfolios have the same average return and the same standard deviation of returns, but Buckeye Fund has a lower beta than Wild Cat Fund. According to the Sharpe measure, the performance of Buckeye Fund
A) is better than the performance of Wild Cat Fund.
B) is the same as the performance of Wild Cat Fund.
C) is poorer than the performance of Wild Cat Fund.
D) cannot be measured as there are no data on the alpha of the portfolio.

Question

Quizplus · Accepted Answer

The Sharpe measure evaluates performance based on return and standard deviation, not beta. Since both portfolios have the same average return and standard deviation, their Sharpe ratios are the same.

Suppose Two Portfolios Have the Same Average Return and the Same