问题
单项选择题
If the threshold return is higher than the risk -free rate, what will be the relationship between Roy's safety -first ratio (SF) and Sharpe's ratio（）
A. The SF ratio will be lower.
B. The SF ratio will be higher.
C. They will be the same.
答案
参考答案：A
解析：
Since each ratio has the standard deviation of returns in the denominator, the difference depends upon the effect on the numerator. Since both the risk -free rate (in the Sharpe ratio) and the threshold rate (in the SF ratio) are subtracted from the expected return, a larger threshold rate would result in a smaller SF ratio value.