A portfolio produces the following returns in years 1-5:
Year | Return (%) |
1 | 0 |
2 | 0 |
3 | 7 |
4 | 0 |
5 | 8 |
What is the Sharpe ratio of this portfolio, if the average risk free rate over the same time period was 2%?
Enter answer accurate to 2 decimal places.
A portfolio produces the following returns in years 1-5: Year Return (%) 1 0 2 0...
A portfolio produces the following returns in years 1-5: Year Return (%) 1 4 2 -5 3 4 4 8 5 -1 What is the Sharpe ratio of this portfolio, if the average risk free rate over the same time period was 3%? Enter answer accurate to 2 decimal places.
A portfolio produces the following returns in years 1-5: Year Return (%) Year Return (%) 1 5 2 -1 3 -9 4 1 5 3 What is the Sharpe ratio of this portfolio, if the average risk-free rate over the same time period was 3%? Enter answer accurate to 2 decimal places. Please explain each step and do it on the excel.
Two portfolios, P1 and P2, produce the following returns in years 1-5: Year P1 Return (%) P2 Return (%) 1 8 -10 2 3 -4 3 -6 4 4 7 -6 5 7 5 What is the mean annual return on a portfolio that is 70% invested in P1 and 30% invested in P2? Enter answer accurate to 2 decimal places
1. We observe the following annual returns on a stock in the past three years. The annual risk- free rate is 5%. Year 2016 2016 | Realized Return | 10% - 2017 300% 2018 -10% 2018 | (a) What is the arithmetic average stock return? (4%) (b) What is the geometric average stock return? (4%) (c) What are the sample mean and standard deviation of the stock return? (8%) (d) What is the stock's Sharpe ratio? (4%) (e) Jessica invests...
You are comparing the performance of your portfolio against your benchmark over the last 8 years. You have collected the following data: Year Portfolio Benchmark 1 12% 10% 2 6% 13% 3 10% 11% 4 11% 9% 5 16% 12% 6 14% 10% 7 8% 13% 8 18% 10% Assume that the risk-free rate over this period averaged 2%. Given this information, calculate the optimal levels of active risk and active return for your portfolio, along with the Sharpe ratio...
An analyst gathered the following information about a portfolio's performance over the past ten years: Mean annual return: 11.8% Standard deviation of annual returns: 15.7% Portfolio Beta:1.2 If the mean return on the risk-free asset over the same period was 5.0%, the Sharpe ratio for the portfolio is closest to: Sharpe ratio A 0.23 B 0.36 C 0.43
Given the annual average return of a portfolio is 8.3% and the standard deviation is 17.57%. With a 3% risk-free rate, calculate the Sharpe ratio of this portfolio. (Give the answer up to 2 decimal places)
You are constructing a portfolio of two assets, Asset A and Asset B. The expected returns of the assets are 10 percent and 16 percent, respectively. The standard deviations of the assets are 37 percent and 45 percent, respectively. The correlation between the two assets is 0.57 and the risk-free rate is 4.1 percent. What is the optimal Sharpe ratio in a portfolio of the two assets? What is the smallest expected loss for this portfolio over the coming year...
You've observed the following returns on Crash-n-Burn Computer's stock over the past five years: 8 percent, -15 percent, 19 percent, 31 percent, and 21 percent. Suppose the average inflation rate over this period was 3.1 percent and the average T-bill rate over the period was 3.9 percent. a. What was the average real return over this time period? (Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e.g., 32.16.) What was the...
You’ve observed the following returns on Crash-n-Burn Computer’s stock over the past five years: 8 percent, −15 percent, 19 percent, 31 percent, and 21 percent. Suppose the average inflation rate over this period was 3.1 percent and the average T-bill rate over the period was 3.9 percent. Every time I look this up, I can only find the real return, not the real risk free return.... a. What was the average real risk free rate over this time period? (Do...