Question
In: Finance
Sharpe ratio of portfolio A and B are 0.40 and 0.52 respectively. Therefore, CAL(A) is _________...
Sharpe ratio of portfolio A and B are 0.40 and 0.52
respectively. Therefore, CAL(A) is _________ than CAL(B).
Select one:
a. Larger
b. Steeper
c. Smaller
d. Flatter
Solutions
Expert Solution
Answer-
The correct Option is d. Flatter
As the sharpe ratio is lower the Capital Allocation Line (CAL) is flatter. As Sharpe ratio is higher the more steeper the CAL. As sharpe ratio of A (0.40) is lower than B ( 0.52) therefore it has flatter CAL.
The other options a, b and c are incorrect.
jeff jeffy answered 3 years agoRelated Solutions
The Sharpe ratio and Jensen’s alpha of portfolio A are 0.10 and 0.004, respectively. The risk-free...
The Sharpe ratio and Jensen’s alpha of portfolio A are 0.10 and
0.004, respectively. The risk-free rate is 3%, the average return
on the market portfolio is 7%, the variance of the market portfolio
is 0.09, and the correlation coefficient between A and the market
portfolio is 0.7. What is the expected return and the variance of
A?
What is the Sharpe ratio for the minimum variance portfolio (MVP)?
A pension fund manager is considering three mutual funds. The
first is a stock fund, the second is a long-term government and
corporate bond fund, and the third is a T-bill money market fund
that yields a sure rate of 5%. The probability distributions of the
risky funds are:Expected ReturnStandard DeviationStock fund (S)15%32%Bond fund (B)923The correlation between the fund returns is 0.10.What is the Sharpe ratio for the minimum variance portfolio
(MVP)?
What is the Sharpe approach to measuring portfolio risk? If a portfolio has a higher Sharpe...
What is the Sharpe approach to measuring portfolio risk? If a
portfolio has a higher Sharpe measure than the market in general
under the Sharpe approach, what is the implication?
What's the limitation of Sharpe ratio?
What's the limitation of Sharpe ratio?
My sharpe Ratio for my portfolio is 1.08. What does this mean? Or how would i...
My sharpe Ratio for my portfolio is 1.08. What does this mean?
Or how would i describe my number.
Table 2 shows regressions of the standard deviation and Sharpe ratio of household portfolio annual returns...
Table 2 shows regressions of the standard deviation and Sharpe
ratio of household portfolio annual returns for different brackets
of the distribution of net wealth in Sweden between 1999 and 2007
(standard errors are not reported). The reported Sharpe ratio of a
household portfolio is equal to the expected return of the
portfolio divided by its standard deviation. The Sharpe ratio is
used to measure performance in relation to risk taken. For example,
when comparing two portfolios, the one with...
Table 2 shows regressions of the standard deviation and Sharpe ratio of household portfolio annual returns...
Table 2 shows regressions of the standard deviation and Sharpe
ratio of household portfolio annual returns for different brackets
of the distribution of net wealth in Sweden between 1999 and 2007
(standard errors are not reported). The reported Sharpe ratio of a
household portfolio is equal to the expected return of the
portfolio divided by its standard deviation. The Sharpe ratio is
used to measure performance in relation to risk taken. For example,
when comparing two portfolios, the one with...
a) Define the following: Capital Allocation to Risky assets Complete Portfolio Sharpe Ratio Mean – Variance...
a) Define the following:
Capital Allocation to Risky assets
Complete Portfolio
Sharpe Ratio
Mean – Variance Analysis
Passive Strategy
b) What features of the money markets
securities distinguish them from other fixed-income
securities?
Based on the following information for mutual funds A and B, find Jensen’s alpha, Sharpe ratio,...
Based on the following information for mutual funds A and B,
find Jensen’s alpha, Sharpe ratio, Treynor ratio, and Information
ratio. Which fund is preferable based on each performance measure?
Can you make an overall recommendation between the two? (10
points)
A
B
Beta
1.3
1.6
Standard deviation
8%
14%
Standard deviation of nonsystematic
risk
5%
10%
Expected return
14%
17%
Market return
10%
10%
Risk-free rate
2%
2%
1.Sharpe Ratio: a)We expect to have our stock portfolio to return 11% next year. The return...
1.Sharpe Ratio:
a)We expect to have our stock portfolio
to return 11% next year. The return on the risk-free T-bills is
3.2% and our portfolio has 5% standard deviation. What is the
Sharpe ratio?
b)Stock portfolio A has a Sharpe ratio
of 1.6 and an expected return of 10%. An alternative stock
portfolio B has a Sharpe ratio of 1.2 and an expected return of
10%. In which one should you invest?
c)Stock portfolio A has a Sharpe ratio
of...
ADVERTISEMENT
ADVERTISEMENT
Latest Questions
- Two structures of alanine can be drawn that have a net charge of zero, but the...
- Co(II) was used as an internal standard to analyze a sample of Ti(IV) with atomic absorption...
- Matlab Programming Write an M-file to read a real-valued vector of any length from the keyboard...
- TASK back to top In the contemporary management environment, mergers and acquisitions are hot topics; particularly...
- A room with 2.7-m-high ceilings has a metal plate on the floor with V = 0V...
- which of the following statements are true? a) the same nuclear changes (creation/destruction of specific nucleons)...
- Overview: Advances in technology have impacted many facets of the auditing process, from assessing risk and...
ADVERTISEMENT