The Sharpe reward-to-variability ratio
A) is based on total risk.
B) will always give the same portfolio performance conclusion as the reward-to-volatility.
C) is based on the SML.
D) will provide the same rank order of portfolio performance as the reward-to-volatility.

Question

Quizplus · Accepted Answer

The Sharpe ratio is based on total risk, which includes both systematic and unsystematic risk, as it uses the standard deviation of portfolio returns in its calculation.

The Sharpe Reward-To-Variability Ratio