Which of the following is not true about the Sharpe ratio?
A) An estimate for the beta of the portfolio is not required.
B) It penalizes a portfolio that is not diversified.
C) It allows us to find the best portfolio on the efficient frontier.
D) It is useful for measuring the performance of an individual asset.
E) All of the above are true about the Sharpe ratio.

Question

Quizplus · Accepted Answer

The statement "It is useful for measuring the performance of an individual asset" is not true about the Sharpe ratio. The Sharpe ratio is designed to measure the risk-adjusted performance of an entire portfolio, and it requires a comparison between the portfolio's returns and a risk-free rate of return.

Which of the Following Is Not True About the Sharpe