If a portfolio had a return of 15%, the risk-free asset return was 5%, and the standard deviation of the portfolio's excess returns was 30%, the Sharpe measure would be
A)0.20.
B)0.35.
C)0.45.
D)0.33.

Question

Quizplus · Accepted Answer

The Sharpe measure is calculated as (Rp - Rf) / σp, where Rp is the portfolio return, Rf is the risk-free asset return, and σp is the standard deviation of the portfolio's excess returns. In this case, the Sharpe measure is (0.15 - 0.05) / 0.30 = 0.33.

If a Portfolio Had a Return of 15%, the Risk-Free