CFA Practice Question

There are 136 practice questions for this study session.

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 ______.

A. 0.56
B. 0.64
C. 0.82
Correct Answer: B

SRP2 = SRB2 + IR2 = 0.42 + 0.52 = 0.41
SRP = 0.64

User Contributed Comments 0

You need to log in first to add your comment.