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Johnson Inc. manages a growth portfolio of equity securities that has had a mean monthly return of 1.4% and a standard deviation of returns of 10.8%. Smith Inc. manages a blended equity and fixed income portfolio that has had a mean monthly return of 1.2% and a standard deviation of returns of 6.8%. The mean monthly return on Treasury bills has been 0.3%. Based on the Sharpe ratio, the: A. Johnson and Smith portfolios have exhibited the same risk-adjusted performance. B. performance of the Johnson portfolio is preferable to the performance of the Smith portfolio. C. performance of the Smith portfolio is preferable to the performance of the Johnson portfolio. |