sharp ratio和CV的区别是什么？

问题如下：

Adonis, an analyst from an investment company, recently gathered the following information:

Which of the following statements is correct?

选项：

A.

Portfolio 1 has the largest Sharpe ratio therefore perform the best.

B.

Portfolio 2 has the largest Sharpe ratio therefore perform the best.

C.

Portfolio 3 has the smallest Sharpe ratio therefore perform the best.

解释：

The Sharpe ratio is a measure for calculating risk-adjusted return. The one with largest Sharpe ration performs the best.

It can be calculated as: Sharp ratio=(R_i-R_f)/ σ

Portfolio 1: Sharpe ratio =6.8/21.6 = 0.3148

Portfolio 2: Sharpe ratio =7.5/20.3 = 0.3695

Porfolio 3: Sharpe ratio =10.3/34.9 = 0.2951.

Portfolio 2 has the largest sharpe ratio, therefore it performs the best.