66. An analyst is using historical scenario analysis to assess the performance of an investment strategy in different environments. The results of the analysis for both the benchmark and the strategy portfolios are presented in the table below. The average risk-free rate is 2.0%.

Table 1: Performance in Recession and Expansion

	Recession		Expansion
	Benchmark	Strategy	Benchmark	Strategy
Return (%)	4.0	4.8	11.5	12.5
Standard deviation (%)	3.5	1.2	7.5	4.5

Table 2: Performance in Low Volatility and High Volatility

	Low Volatility		High Volatility
	Benchmark	Strategy	Benchmark	Strategy
Return (%)	6.5	7.5	14.2	15.6
Standard deviation (%)	3.1	5.5	9.1	8.9

With regard to the Sharpe ratio, the strategy:****