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Assume an equity market neutral portfolio (i.e., beta = 0) is...
Assume an equity market neutral portfolio (i.e., beta = 0) is constructed from a combination of one part investors' "equity" contributions and five parts leverage. This levered strategy produced a gross annual return of 13% before fees and interest income, the stock lenders chargesd a fee of 1% p.a. to loan stock, and cash sitting in the portfolio earned 2% p.a.. If the strategy's idiosyncartic variance before leverage was .000144, the Sharpe ratio of the strategy on an unlevered basis was closet to: A. 1.50 B. 1.39 C. 1.25 D. 1.20
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