hard · FRM Part 2 Risk & Investment Management
A real estate fund reports a Sharpe ratio of 0.90 based on a 6% annualized volatility.
If the returns exhibit an autocorrelation of φ = 0.50, what is the corrected Sharpe ratio (assuming the risk-free rate and mean returns remain constant)?
- 0.64
- 0.30
- 1.56
- 0.52
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