Q.2474 Consider the following currency portfolio: | Asset | $E_i$ | $W_i$ | $\beta_i$ | $\frac{E_i}{\beta_i}$ | |-------|--------|--------|------------|-------------------------| | CAD | 8.00% | 66.67% | 0.615 | 0.1301 | | EUR | 5.00% | 33.33% | 1.770 | 0.0282 | | Total | | 100% | | | | Diversified VaR | | $257,738 | | | | Standard Dev | | 15.62% | | | | Expected return | | ? | | | | Sharpe Ratio | | ? | | | Given that the current risk free rate is 2%, which of the following is closest to the Sharpe ratio of the portfolio? | Financial Risk Manager Part 2 Quiz - LeetQuiz

Explanation:

The expected return is equal to:

\sum_{i=1}^{k} w_i R_i = 8\% \times 66.67\% + 5\% \times 33.33\% = 7\%

The Sharpe Ratio is:

SR = \frac{E_i - r}{s} = \frac{7\% - 2\%}{15.62\%} = 0.32

Where,
SR = Sharpe ratio
r = Current risk-free rate
s = Standard deviation

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Q.2474 Consider the following currency portfolio:

Asset $E_i$ $W_i$ $\beta_i$ $\frac{E_i}{\beta_i}$
CAD 8.00% 66.67% 0.615 0.1301
EUR 5.00% 33.33% 1.770 0.0282
Total 100%
Diversified VaR `$257`,738
Standard Dev 15.62%
Expected return ?
Sharpe Ratio ?

Given that the current risk free rate is 2%, which of the following is closest to the Sharpe ratio of the portfolio?

Asset	$E_i$	$W_i$	$\beta_i$	$\frac{E_i}{\beta_i}$
CAD	8.00%	66.67%	0.615	0.1301
EUR	5.00%	33.33%	1.770	0.0282
Total		100%
Diversified VaR		`$257`,738
Standard Dev		15.62%
Expected return		?
Sharpe Ratio		?

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Last updated: July 5, 2026 at 07:23

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