Question

BU 477 HW #6: Due 11/25 Ch. 17:Q17.6, 17.9, 17.11, 17.14 #1 The following are the US dollar returns for three nations' equity markets. Calculate the Sharpe and Treynor measures of them. Mean returns Std. dev. Risk-free rate beta Estonia 1.12% 16.00% 0.42% 1.65 Latvia 0.75 22.80 0.42 1.53 Lithuania 1.60 13.50 0.42 1.20

Answer 1

1)

Estonia Sharpe ratio=(1.12%-0.42%)/16%=0.0438

Estonia Treynor ratio=(1.12%-0.42%)/1.65=0.0042

2)

Latvia Sharpe ratio=(0.75%-0.42%)/22.80%=0.0145

Latvia Treynor ratio=(0.75%-0.42%)/1.53=0.0022

3)

Lithuania Sharpe ratio=(1.60%-0.42%)/13.50%=0.0874

Lithuania Treynor ratio=(1.60%-0.42%)/1.20=0.0098

the above is answer..