Pembahasan Ujian PAI: F10 – No. 27 – November 2025

• \(E\left(r_{A}\right) = 10\%\) ; \(\sigma_{A} = 7\%\)
• \(E\left(r_{B}\right) = 12\%\) ; \(\sigma_{B} = 9\%\)
• \(E\left(r_{C}\right) = 15\%\) ; \(\sigma_{C} = 12\%\)
• \(E\left(r_{D}\right) = 18\%\) ; \(\sigma_{D} = 14\%\)
• \(E\left(r_{E}\right) = 20\%\) ; \(\sigma_{E} = 17\%\)
• \(E\left(r_{m}\right) = 20\%\) ; \(\sigma_{m} = 12\%\)
• \(r_{f} = 5\%\)

$$\begin{aligned}
\text{Sharpe Ratio}_{A} &= \frac{10\% – 5\%}{7\%} = \frac{5}{7} = 0{,}714\% \\
\text{Sharpe Ratio}_{B} &= \frac{12\% – 5\%}{9\%} = \frac{7}{9} = 0{,}778\% \\
\text{Sharpe Ratio}_{C} &= \frac{15\% – 5\%}{12\%} = \frac{10}{12} = 0{,}833\% \\
\text{Sharpe Ratio}_{D} &= \frac{18\% – 5\%}{14\%} = \frac{13}{14} = \mathbf{0{,}929}\% \\
\text{Sharpe Ratio}_{E} &= \frac{20\% – 5\%}{17\%} = \frac{15}{17} = 0{,}882\%
\end{aligned}$$

Portofolio paling optimal memiliki nilai Sharpe Ratio tertinggi.
Dari nilai rasio Sharpe di atas, rasio tertinggi dimiliki oleh portofolio D.

Jadi, berdasarkan rasio Sharpe, portofolio yang harus dipilih oleh investor adalah portofolio D.