Question

A portfolio with a 30% standard deviation generated a return of 15% last year when T-bills were paying 6.0%. This portfolio had a Sharpe ratio of ____.

Answer 1

Answer: 0.3

Step-by-step explanation:

The Sharpe ratio is simply used by organizations and investors in order to compare the return on an investment to its risk.

From the question, we are informed that a portfolio has a 30% standard deviation generated a return of 15% last year when T-bills were paying 6.0%.

The Sharpe ratio will be:

= (15% - 6.0%)/30%

= 9%/30%

= 0.09/0.3

= 0.3