NO.PZ2018062016000054
问题如下:
An analyst has observed that the risk free rate is 1.5%. Given the table above, based on the Sharpe ratio, which of the following is the best choice for clients?
选项:
A.S&P 500 index
B.Russell 2000 index
C.PRFDX
解释:
C is correct. We should select the alternative with the highest Sharpe ratio.
S&P 500 index:(6.57-1.5)/20.99=0.24
Russell 2000 index:(9.25-1.5)/22.36=0.35
PRFDX:(8.91-1.5)/18.12=0.41
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