Financial Risk Manager Part 1
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- 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:
| Expected return of the portfolio | 7.6% |
|---|---|
| Volatility of returns of the portfolio | 11.5% |
| Expected return of the STI | 4.0% |
| Volatility of returns of the STI | 8.7% |
| Risk-free rate of return | 2.3% |
| Beta of portfolio relative to STI | 1.7% |
What is the Sharpe ratio of this portfolio?
- 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:
| Expected return of the portfolio | 7.6% |
|---|---|
| Volatility of returns of the portfolio | 11.5% |
| Expected return of the STI | 4.0% |
| Volatility of returns of the STI | 8.7% |
| Risk-free rate of return | 2.3% |
| Beta of portfolio relative to STI | 1.7% |
What is the Sharpe ratio of this portfolio?
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