Suppose That Over the Same Period Two Portfolios Have the Same

Multiple Choice

Suppose that over the same period two portfolios have the same average return and the same standard deviation of return, but Portfolio A has a higher beta than Portfolio B. According to the Sharpe measure, the performance of Portfolio A ________.

A) is better than the performance of Portfolio B
B) is the same as the performance of Portfolio B
C) is poorer than the performance of Portfolio B
D) cannot be measured since there is no data on the alpha of the portfolio