- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 2. Portfolio Risk and Return: Part II
- Subject 7. Portfolio Performance Appraisal Measures
CFA Practice Question
Assume the risk-free rate is 4%. The expected return on the market portfolio is 15%, and its standard deviation is 20%. A company has an expected return of 25%, a standard deviation of 40% and a correlation of 0.8 with the market. What is the company's Sharpe ratio?
Correct Answer: 0.525
(25% - 4%) / 40% = 0.525
User Contributed Comments 0
You need to log in first to add your comment.