An analyst gathered the following information about a common stock portfolio: Arithmetic mean return 14.30% Geometric mean return 12.70% Variance of returns 380 Portfolio beta 1.35 If the risk-free rate of return is 4.25%, then the coefficient of variation and the Sharpe ratio, respectively, for the portfolio are closest to: Coefficient of Sharpe ratio variation A. 1.36 0.52 B. 1.36 7.44 C. 1.53 0.52 D. 1.53 7.44 which and why?

A or C, I dunno the first part. Sharpe=(14.3-4.25)/380^1/2

A

CV = Standard Deviation / A. Mean

yep, there it is. A sure sign that I should call it quits for the nightâ€¦

It will be A. cuz you get sharp ratio of 52 only using arithmetic mean. this question is a waste of time, cuz you have to keep going back and plugging in Arithmetic mean and then geometric mean. not easy elimination in this question.

why choose A.mean rather than G.mean?

Thatâ€™s the formula for CV. GM is not used in this. http://en.wikipedia.org/wiki/Coefficient_of_variation

nattaa Wrote: ------------------------------------------------------- > why choose A.mean rather than G.mean? cuz if you choose geo mean, you wont get a valid answer choice in sharpe ratio. hehe, thats why its tricky.