Topic 11 Applying the CAPM to Performance Measurement.pdf

# 0570 0064 0071 for a given portfolio the expected

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0.570. 0.064. 0.071. For a given portfolio, the expected return is 12% with a standard deviation of 22%. The beta of the portfolio is 1.1. The expected return of the market is 10% with a standard deviation of 20%. The risk-free rate is 4%. The Sharpe measure of the portfolio is: 0.36. 7.27. 20.00. 0.10. Portfolio A earned a return of 10.23% and had a standard deviation of returns of 6.22%. If the return over the same period on Treasury bills (T-bills) was 0.52% and the return to Treasury bonds (T-bonds) was 4.56%, what is the Sharpe ratio of the portfolio? 0.91. 1.56. 7.71. 0.56. A portfolio of options had a return of 22% with a standard deviation of 20%. If the risk-free rate is 7.5%, what is the Sharpe ratio for the portfolio? 0.147. 0.725. 0.267.

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• Fall '18
• Portfolio Manager, Modern portfolio theory, sharpe ratio, Sharpe, Treynor ratio

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