Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A.

CS Executive · Financial and Strategic Management · PYQS · June 2021
Suppose two portfolios have the same average return, the same standard deviation of returns, but portfolio A has a higher beta than portfolio B. According to the Sharpe measure, the performance of portfolio A.
(A) Is the same as the performance of portfolio B
(B) Is better than the performance of portfolio B
(C) Is poorer than the performance of portfolio B
(D) Cannot be measured

Answer & Explanation:

Correct Answer: Option (A)

Official answer key: (A).

Topics: Financial Management

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