总体风险

问题如下：

An analyst is evaluating the performance of a portfolio of Singaporean equities that is benchmarked to the Straits Times Index (STI). The analyst collects the following information about the portfolio and the benchmark index:

What is the Sharpe ratio of this portfolio?

选项：

A.

0.036

B.

0.047

C.

0.389

D.

0.461

解释：

Explanation: D is correct. The Sharpe ratio for the portfolio is:

Section Foundations of Risk Management

Learning Objective: Calculate, compare, and interpret the following performance measures: the Sharpe performance index, the Treynor performance index, the Jensen performance index, the tracking error, information ratio, and Sortino rati0.

Reference Global Association of Risk Professionals. Foundations of Risk Management. New York, NY: Pearson, 2022. Chapter 5. Modern Portfolio Theory and the Capital Asset Pricing Model.