11. Assume that you have a strategy that has delivered an annual return of 12% a...

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11. Assume that you have a strategy that has delivered an annual return of 12% a year for the last 10 years, with an annualized standard deviation of 30%. The market over the same period had an annual return of 10% over the same period with an annualized standard deviation of 20%. On a Sharpe ratio basis, how did your portfolio do, relative to the market? Explain your answer. a It did 1.25 times better than the market b. It did 1.2 times better than the market c. It did as well as the market d. It did 0.8 times as well as the market e. None of the above

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Answer 1

Answer #1

Since Risk free rate is not given in the question, it is assumed to be 0, then

30/ Sharpe ato ot market :- 20l. Portfolio relative to market 0.4% 0.5l -0.8-times

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Answer 2

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