NO.PZ2023090501000001
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:
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.
SpI分母的总体风险为啥是11.5%