Your portfolio has an expected return of 15.6 percent, a beta of 1.31, and a standard deviation of 15.3 percent. The U.S. Treasury bill rate is 3.8 percent. What is the Sharpe ratio of your portfolio?
A) .67
B) .69
C) .74
D) .77
E) .83

Question

Quizplus · Accepted Answer

The Sharpe ratio is calculated as (Rp - Rf) / σp, where Rp is the expected return of the portfolio, Rf is the risk-free rate, and σp is the standard deviation of the portfolio. In this case, Rp = 15.6%, Rf = 3.8%, and σp = 15.3%. Plugging these values into the formula, we get (15.6% - 3.8%) / 15.3% = 0.77, which is choice D.

Your Portfolio Has an Expected Return of 15