乔。 · 2023年12月06日

Sharpe ratio的cor计算

1. CFA I
2. Portfolio

NO.PZ2018070201000037

问题如下：

What's the annual geometric mean return of below investment over three years?

选项：

A.

-1.15%.

B.

2.5%.

C.

3.8%.

解释：

A is correct.

The annual geometric mean return is $\;{\lbrack(1\;+\;0.2)(1-0.3)(1\;+\;0.15)\rbrack}^{1/3}\;-1\;=\;0.966^{1/3}\;-1\;=\;-0.0115\;=\;-1.15\%$

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?

A. Manager 1.     B. Manager 2          C. Manager 3

Manager 1：Sharpe ratio= (Rp-Rf)/σp=（14.38%-2.6%）/10.53cor，

请问cor是怎么算的？