習題：
　　Exercise:
　　Which of the following statements about the Sharpe Ratio is false?
　　A.       The Sharpe Ratio considers both the systematic and unsystematic risks of a portfolio.
　　B.       The Sharpe Ratio is equal to the excess return of a portfolio over the risk-free rate divided by
　　the total risk of the portfolio.
　　C.      The Sharpe Ratio cannot be used to *uate relative performance of undiversified portfolios.
　　D.      The Sharpe Ratio is derived from the Capital Market Line.
　　解析：
　　Answer: C
　　Explanation: The SR considers total risk, which includes systematic and unsystematic risks, so a. and b. are correct statements, and incorrect answers. Similarly, the SR is derived from the CML, which states that the market is mean-variance efficient and hence has the highest Sharpe Ratio of any feasible portfolio. Finally, the SR can be used to *uate undiversified portfolios precisely, because it includes idiosyncratic risk.
　　知識點：
　　Sharpe Ratio
　　The Sharpe Ratio is equal to the risk premium divided by the standard deviation, or total risk:
 
        FRM考試在線高清視頻指導