i) Alpha is the intercept in the equation
So, Alpha for stock A = 1%
Alpha for stock B = 2%
2 ) Information ratio = Alpha/Residual Standard Deviation
So, Information Ratio of Stock A = 1%/10.7% = 0.0935
Information Ratio of Stock B = 2%/19.5% = 0.1026
3) Sharpe Ratio =Excess Return/ Standard deviation
Sharpe Ratio of Stock A = [ 1% +1.2* (12%-5%)] / 22% = 9.4%/22% = 0.4273
Sharpe Ratio of Stock B = [ 2% +0.8* (12%-5%)] / 25.7% = 7.6%/25.7% = 0.2957
4) Treynor Measure =Excess Return/ beta
Treynor measure of Stock A = [ 1% +1.2* (12%-5%)] / 1.2 = 9.4%/1.2 = 0.0783
Treynor measure of Stock B = [ 2% +0.8* (12%-5%)] / 0.8 = 7.6%/0.8 = 0.0950
please show work Consider the two (excess return) index-model regression results for stocks A and B....
#05 A Saved Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, a market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, ole) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.611 10.9% 22.2% Stock B 2% + 0.8(rm -rf) 0.454 19.7% 26.1% a. Calculate the following statistics for...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns Stock A 1% + 1.2 (rm -rf) 0.629 11.2% 22.5% Stock B 2% + 0.8(rm -rf) 0.463 20% 26.7% a. Calculate the following statistics for each stock:...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 5%, and the market’s average return was 12%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.599 0.448 Residual standard deviation, σ(e) 10.7% 19.5% Standard deviation of excess returns 22% 25.7% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns. Consider the two excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns Stock A...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, 0(e) Standard deviation of excess returns Stock A 1% + 1.2(M - rf) 0.659 11.7% 238 Stock B 2% + 0.8(IM - rf) 0.478 20.5% 27.7% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the marker's average return was 11%. Performance is measured using an index model regression on excess returns Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock A 1% + 1.2M - rf) 2.683 12.15 23.4% Stock 8 2% + 0.8( - rf) 2.49 20.93 28.5% a. Calculate the following statistics for each...
Problem 24-9 Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 13%. Performance is measured using an index model regression on excess returns. points Index model regression estimates 10 + re) Stock A 1.2(y- 0.659 11.78 238 Stock B 20 + 0.8(EM - 0.478 F Residual standard deviation, die Standard deviation of excess returns a. Calculate the following statistics for each stock...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the market’s average return was 11%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.683 0.49 Residual standard deviation, σ(e) 12.1% 20.9% Standard deviation of excess returns 23.4% 28.5% a. Calculate the following statistics for each...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 8%, and the market's average return was 16%. Performance is measured using an index model regression on excess returns. Stock 18 + 1.2 (ry - rp) 0.677 Index model regression estimates R-square Residual standard deviation, (e) Standard deviation of excess returns Stock B 28 +0.8(IN - rf) 0.487 20.88 28.30 126 23.38 a. Calculate the following statistics for each stock:...
Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market’s average return was 14%. Performance is measured using an index model regression on excess returns. Stock A Stock B Index model regression estimates 1% + 1.2(rM − rf) 2% + 0.8(rM − rf) R-square 0.635 0.466 Residual standard deviation, σ(e) 11.3% 20.1% Standard deviation of excess returns 22.6% 26.9% a. Calculate the following statistics for each...