Market Data Return Standard Deviation Beta Market Data 0.120 0.200 1.000 Risk-Free Rate 0.025 0.000 0.000 Company Data A B C Alpha 0.015 0.020 -0.005 Beta 1.200 0.800 1.250 Residual standard deviation, σ(e) 0.105 0.195 0.067 Standard Deviation of Excess Return 0.245 0.235 0.210 Required: Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio. (Use cells A3 to D10 from the given information to complete this question. Negative answers should be input and displayed as a negative values. All other answers should be input and displayed as positive values.) Risk-Adjusted Performance Measures A B C Market Sharpe Ratio Treynor's Measure Information Ratio
Market Data Return Standard Deviation Beta Market Data 0.120 0.200 1.000 Risk-Free Rate 0.025 0.000 0.000 Company Data A B C Alpha 0.015 0.020 -0.005 Beta 1.200 0.800 1.250 Residual standard deviation, σ(e) 0.105 0.195 0.067 Standard Deviation of Excess Return 0.245 0.235 0.210 Required: Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio. (Use cells A3 to D10 from the given information to complete this question. Negative answers should be input and displayed as a negative values. All other answers should be input and displayed as positive values.) Risk-Adjusted Performance Measures A B C Market Sharpe Ratio Treynor's Measure Information Ratio
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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Question
| Market Data | Return | Standard Deviation | Beta | |||
| Market Data | 0.120 | 0.200 | 1.000 | |||
| Risk-Free Rate | 0.025 | 0.000 | 0.000 | |||
| Company Data | A | B | C | |||
| Alpha | 0.015 | 0.020 | -0.005 | |||
| Beta | 1.200 | 0.800 | 1.250 | |||
| Residual standard deviation, σ(e) | 0.105 | 0.195 | 0.067 | |||
| Standard Deviation of Excess Return | 0.245 | 0.235 | 0.210 | |||
| Required: | ||||||
| Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio. | ||||||
| (Use cells A3 to D10 from the given information to complete this question. Negative answers should be input and displayed as a negative values. All other answers should be input and displayed as positive values.) | ||||||
| Risk-Adjusted Performance Measures | A | B | C | Market | ||
| Sharpe Ratio | ||||||
| Treynor's Measure | ||||||
| Information Ratio | ||||||
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