小編導(dǎo)讀：高頓網(wǎng)校精品題庫，包含歷年真題，模擬試題等題型，題題結(jié)合考試大綱貼近考試考點(diǎn)。堅(jiān)持每天做題練習(xí)，一定可以提升備考效果，為贏取屬于自己的美好明天加油吧！馬上開始練習(xí) >>>
　　Which of the following statements about the Sharpe Ratio is correct?
　　I.The Sharpe Ratio considers both the systematic and unsystematic risks of a portfolio.
　　II.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.
　　III.The Sharpe Ratio cannot be used to *uate relative performance of undiversified portfolios.
　　IV.The Sharpe Ratio is derived from the Capital Market Line.
　　A.I,II and III
　　B.I,II and IV
　　C.II,III and IV
　　D.All of the above
　　Answer: B
　　The SR considers total risk, which includes systematic and unsystematic risks, so I. and II. 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.