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【FRM每日一题】一级:风险管理基础

发表时间:2015/10/19 13:28:15 编辑:小T 告诉小伙伴:
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[编考按]A fund manager recently received a report on the performance of his portfolio over the last year. According to the report, the portfolio return is 8.6%, with a standard deviation of 13.5%, and beta of 0.86. The risk-free rate is 3.6%, what is its Sharpe ratio...

        A fund manager recently received a report on the performance of his portfolio over the last year. According to the report, the portfolio return is 8.6%, with a standard deviation of 13.5%, and beta of 0.86. The risk-free rate is 3.6%, what is its Sharpe ratio?

        A.0.430

        B.0.318

        C.0.370

        D.0.550

        Answer: C

        Explanation: Sharp ratio = (8.6% - 3.6%)/13.5% = 0.37

        相关知识点: Sharpe Ratio

        The Sharpe Ratio is equal to the risk premium divided by the standard deviation, or total risk:

        

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