A portfolio generates an annual return of 16%,a beta of 1.2 and a standard deviation of 19%.The market index return is 12% and has a standard deviation of 16%.What is the Sharpe measure of the portfolio if the risk free rate is 6%?
A) .4757
B) .5263
C) .6842
D) .7252

Question

Quizplus · Accepted Answer

The Sharpe measure is calculated as (Portfolio Return - Risk-Free Rate) / Portfolio Standard Deviation. Here, it is (16% - 6%) / 19% = 0.5263.

A Portfolio Generates an Annual Return of 16%,a Beta of 1.2