微信扫一扫
实时资讯全掌握
|
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. performance of the Smith portfolio is preferable to the performance of the Johnson portfolio. B. performance of the Johnson portfolio is preferable to the performance of the Smith portfolio. C. Johnson portfolio has greater excess return per unit of risk than the Smith portfolio. D. shows that the Johnson and Smith portfolios have exhibited the same risk-adjusted performance. |