Question

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..