During the 1985 to 2008 period the Sharpe ratio was greatest for which of the following asset classes?
A) Small U.S. stocks
B) Large U.S. stocks
C) Long-Term U.S. Treasury Bonds
D) Equity world portfolio in U.S. dollars

Question

Quizplus · Accepted Answer

Long-Term U.S. Treasury Bonds had the greatest Sharpe ratio during the 1985 to 2008 period. The Sharpe ratio measures the excess return earned over the risk-free rate per unit of volatility. The lower volatility of Treasury Bonds relative to stocks resulted in a higher Sharpe ratio during this period.

During the 1985 to 2008 Period the Sharpe Ratio Was