hard · Quantitative Finance
A quantitative researcher is comparing two trading strategies. Strategy A has an expected return of 14% with 20% volatility. Strategy B has an expected return of 8% with 9% volatility.
Given a risk-free rate of 3%, which strategy is superior on a risk-adjusted basis according to the Sharpe Ratio?
- Neither, as Strategy B has lower raw return
- They are identical
- Strategy B
- Strategy A
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