Suppose portfolio returns are +1%, -0.5%, +1%, -0.5%, … for 252 trading days, and that the...

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Suppose portfolio returns are +1%, -0.5%, +1%, -0.5%, … for 252 trading days, and that the...

Suppose portfolio returns are +1%, -0.5%, +1%, -0.5%, … for 252 trading days, and that the risk-free rate is 0.01% per day. What is the annualized Sharpe ratio?

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Answer 1

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Expected protfolio return = 1.014 0.995 x... x 101 x 0.995 = (1, 0,926 (o.ggs)26 126 - 18629 - 86.29% Annualised risk free r standard deviation = | 11-0125)² + (-015-0.25 +inant (1-0,25) + (-015-0.25) 252-1 (6-75) + (-0.75) to---+ 60-75+(-0.75)? 251

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Answer 2

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