NO.PZ2015121801000139
问题如下:
Three equity fund managers have performance records summarized in the following table:
Given a risk-free rate of return of 2.60%, which manager performed best based on the Sharpe ratio?
选项:
A.
Manager 1
B.
Manager 2
C.
Manager 3
解释:
C is correct. The Sharpe ratio is the mean excess portfolio return per unit of risk,SR= (Rp-Rf)/σp,where a higher Sharpe ratio indicates better performance:
SR1=1.12
SR2=1.05
SR3=1.28
这个计算为何不用带%?而且带%算出的结果是1最好,这是为啥呢?