Suppose two portfolios have the same average return and the same standard deviation of returns, but Aggie Fund has a higher beta than Raider Fund. According to the Sharpe measure, the performance of Aggie Fund
A) is better than the performance of Raider Fund.
B) is the same as the performance of Raider Fund.
C) is poorer than the performance of Raider Fund.
D) cannot be measured as there are no data on the alpha of the portfolio.

Question

Quizplus · Accepted Answer

The Sharpe Index is a measure of average portfolio returns (in excess of the risk-free return) per unit of total risk (as measured by standard deviation).

Suppose Two Portfolios Have the Same Average Return and the Same