- CFA Exams
- CFA Level I Exam
- Topic 9. Portfolio Management
- Learning Module 38. Analysis of Active Portfolio Management
- Subject 2. Comparing Risk and Return
CFA Practice Question
Continue from the previous question. The actively managed portfolio has an information ratio of 0.5 and active risk of 10%. The benchmark portfolio has a Sharpe ratio of 0.4 and total risk of 15%. If the actively managed portfolio is constructed with the optimal level of risk, its Sharpe ratio will be ______.
B. 0.64
C. 0.82
A. 0.56
B. 0.64
C. 0.82
Correct Answer: B
SRP = 0.64
SRP2 = SRB2 + IR2 = 0.42 + 0.52 = 0.41
SRP = 0.64
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