Financial Risk Manager Part 1

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Explanation:

The Sharpe ratio is calculated as:

\text{Sharpe Ratio} = \frac{\text{Expected return of portfolio} - \text{Risk-free rate}}{\text{Volatility of returns of portfolio}}

Given:

\text{Sharpe Ratio} = \frac{7.6\% - 2.3\%}{11.5\%} = \frac{5.3\%}{11.5\%} = 0.461

The Sharpe ratio measures the excess return per unit of risk (volatility) and is a key metric for evaluating risk-adjusted performance.

Explanation:

The Sharpe ratio is calculated as:

\text{Sharpe Ratio} = \frac{\text{Expected return of portfolio} - \text{Risk-free rate}}{\text{Volatility of returns of portfolio}}

Given:

\text{Sharpe Ratio} = \frac{7.6\% - 2.3\%}{11.5\%} = \frac{5.3\%}{11.5\%} = 0.461

The Sharpe ratio measures the excess return per unit of risk (volatility) and is a key metric for evaluating risk-adjusted performance.

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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%

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0.036

0.0%

0.047

0.0%

0.389

16.7%

0.461

83.3%