Sharpe ratio
A strategy returns 12% with 16% volatility; the risk-free rate is 4%. What is its Sharpe ratio? (to 2 decimals)
Show hints (2)+
- Sharpe = (return − risk-free) / volatility.
- Excess return is 12% − 4% = 8%.
Answer
Reveal answer →Final answer
0.5 (± 0.01)
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