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ABC fund earned a total return of 19.5% for calendar year 2003. Its benchmark return during the same period of time is 17.50%. The risk-free rate of return for the period was 2.0%. ABC’s standard deviation is 16% and the standard deviation of the benchmark is 12%. Did the fund outperform its benchmark based on the Sharpe ratio? A. No, the Sharpe ratio of the fund is 1.29 versus 1.09 for the benchmark. B. No, the Sharpe ratio of the fund is 1.09 versus 1.29 for the benchmark. C. Yes, the Sharpe ratio of the fund is 1.09 versus 1.29 for the benchmark. |