6. The return and risk data for three funds and their benchmark is given below:
Benchmark Fund A Fund B Fund C
Average return 15% 17% 21% 11%
Standard
10% 9% 18% 5%
deviation
Sharpe ratio 1.10 1.44 0.94 1.40
Information ratio -0.15 0.09 0.12
Which fund would be best to combine with a passively managed portfolio?
A. Fund A.
B. Fund B.
C. Fund C.
Bạn đang xem 6. - CFA 2018 LEVEL 2 PORTFORLIO QUESTION BANK R51 ANALYSIS OF ACTIVE PORTFOLIO MANAGEMENT Q BANK