You have the following information: A B Market Alpha 1.85% 2% |-2.36% 0% Beta 1.36 0.95 1.98 Res. Variance 2.00% 0.90% 1.60% 0.00% Std.Dev 15% 12% 11% 8% Excess Return 7.90% Based on the Single Index Model, what is the Sharpe Ratio of the Single Index Model portfolio? Note: Round to 3 decimals. The margin of error here is +/- 0.02.

You have the following information: A B Market Alpha 1.85% 2% |-2.36% 0% Beta 1.36 0.95 1.98 Res. Variance 2.00% 0.90% 1.60% 0.00% Std.Dev 15% 12% 11% 8% Excess Return 7.90% Based on the Single Index Model, what is the Sharpe Ratio of the Single Index Model portfolio? Note: Round to 3 decimals. The margin of error here is +/- 0.02.

Intermediate Financial Management (MindTap Course List)

13th Edition

ISBN:9781337395083

Author:Eugene F. Brigham, Phillip R. Daves

Publisher:Eugene F. Brigham, Phillip R. Daves

Chapter2: Risk And Return: Part I

Section: Chapter Questions

Problem 4P: An analyst has modeled the stock of a company using the Fama-French three-factor model. The market...

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