suppose that over the same time period, two portfolios have the same average return and the same beta, but portfolio a has a lower standard deviation of return than portfolio b. according to the sharpe measure, the performance of portfolio a suppose that over the same time period, two portfolios have the same average return and the same beta, but portfolio a has a lower standard deviation of return than portfolio b. according to the sharpe measure, the performance of portfolio a is worse than the performance of portfolio b cannot be measured since there is no data on the alpha of the portfolio is similar to the performance of portfolio b is better than the performance of portfolio b