问题如下:
4. Based on Exhibit 1, combining Fund W with a fund that replicates the benchmark would produce a Sharpe ratio closest to:
选项:
A. 0.44.
B. 0.56.
C. 0.89.
解释:
B is correct.
Given the IR for Fund W of 0.35 and the benchmark’s SR of 0.44, the combination of the benchmark portfolio and Fund W would produce an SR of 0.55, calculated as follows:
SRP = (0.442 + 0.352)0.5 = 0.56
考点:Combined Sharpe ratio
解析:对Fund W和benchmark的组合求Sharpe ratio,代入公式即可:。SR=0.56。
这题没说combine之后的组合是optimal,为什么也可以用这个平方和公式呢?