问题
单项选择题
An analyst does research about the coefficient of covariance and the Sharpe ratio. A security's mean return is positive and more than its standard deviation of returns. If the risk-free rate is zero, the coefficient of covariance is most likely:
A. less than the Sharpe ratio.
B. equal to the Sharpe ratio.
C. greater than the Sharpe ratio.
答案
参考答案：A
解析： 变异系数是标准差除以均值夏普(Sharpe)比率在无风险利率为零的情况下是均值除以标准差，题目中说均值大于标准差，所以变异系数比夏普比率小。