Suppose two portfolios have the same average return,the same standard deviation of returns,but Buckeye Fund has a higher beta than Gator Fund.According to the Sharpe measure,the performance of Buckeye Fund
A)is better than the performance of Gator Fund.
B)is the same as the performance of Gator Fund.
C)is poorer than the performance of Gator Fund.
D)cannot be measured as there is no data on the alpha of the portfolio.
E)none of the above is true.

Question

Quizplus · Accepted Answer

The Sharpe measure evaluates performance based on risk-adjusted returns using standard deviation, not beta. Since both portfolios have the same average return and standard deviation, their Sharpe ratios are the same.

Suppose Two Portfolios Have the Same Average Return,the Same Standard