Question
In: Finance
E(Rp) = 12%, Rf = 2%, Бp = 4, βp = 1.5 Find the Sharpe and...
E(Rp) = 12%, Rf = 2%, Бp = 4, βp = 1.5 Find the Sharpe and Treynor index.
Solutions
Expert Solution
Sharpe Ratio = (Rp - Rf)Standard Deviation
Sharpe Ratio = (0.12 - 0.02)/0.04
Sharpe Ratio = 2.50
Treynor Ratio = (0.12 - 0.02)/1.50
Treynor Ratio = 0.07
jeff jeffy answered 2 years agoRelated Solutions
The following six (4) questions are based on the following data: Year Rp Rm Rf 2000...
The following six (4) questions are based on the following
data:
Year
Rp
Rm
Rf
2000
18.1832
-24.9088
5.112
2001
-3.454
-15.1017
5.051
2002
47.5573
20.784
3.816
2003
28.7035
9.4163
4.2455
2004
29.8613
8.7169
4.2182
2005
11.2167
16.3272
4.3911
2006
32.2799
14.5445
4.7022
2007
-41.0392
-36.0483
4.0232
2008
17.6082
9.7932
2.2123
2009
14.1058
16.5089
3.8368
2010
16.1978
8.0818
3.2935
2011
11.558
15.1984
1.8762
2012
42.993
27.1685
1.7574
2013
18.8682
17.2589
3.0282
2014
-1.4678
5.1932
2.1712
2015
9.2757
4.4993
2.2694
2016...
What is the estimated discount rate of ABC (assume beta=1.5)? Assume the market risk premium (E[rm]-rf)...
What is the estimated discount rate of ABC (assume beta=1.5)?
Assume the market risk premium (E[rm]-rf) is 5% and assume the
risk-free rate is 1%.
A. 9%
B. 4.5%
C. 6%
D. 8.5%
Consider two well-diversified portfolios, A and C, rf = 4%, E(rA) = 10%, E(rC) = 6%,...
Consider two well-diversified portfolios, A and C,
rf = 4%, E(rA) = 10%, E(rC) = 6%, bA = 1, bC = ½
If the maximum amount you can borrow is $1,000,000, what is your
arbitrage strategy and profit?
A. Long 1 A , short 0.5 C , short
0.5 rf, profit=$5,000
B. Long 1C , short 0.5 A, short
0.5 rf, profit=$5,000
C. Long 0.5 C, Long 0.5 rf, short
1 A, profit=$10,000
D. Long 0.5...
The capital asset pricing model (CAPM) can be written as E(Ri) = Rf+ βi[E(Rm) − Rf]...
The capital asset pricing model (CAPM) can be written as E(Ri) =
Rf+ βi[E(Rm) − Rf] using the standard notation. The first step in
using the CAPM is to estimate the stock’s beta using the market
model. The market model can be written as Rit= αi+ βiRmt+ uit where
Rit is the excess return for security i at time t, Rmtis the excess
return on a proxy for the market portfolio at time t, and utis an
iid random disturbance...
Show that E(RX) = 10.5%, σX = 3.12%; E(RZ) = 9.4%, σZ = 0.49%; & E(Rp)...
Show that E(RX) = 10.5%, σX = 3.12%; E(RZ) = 9.4%, σZ = 0.49%;
& E(Rp) = 10.06%,
σp = 1.92%, for assets X & Z, predicted to return (15 &
10%) in booming, (10 & 9%)
in normal & (5 & 10%) in busting economy, if chances of
boom, normal & bust
economy are 0.25, 0.6 & 0.15, & you invest $6,000 in asset
X & $4,000 in asset Z.
I get E(Rp)= 10.06%, but when I try to...
An element e of a ring is called an idempotent if e^2 = e. Find a...
An element e of a ring is called an idempotent if e^2 = e. Find
a nontrivial idempotent e in the ring Z143.
Two assets P and Q, E(rp) = 10%, σp = 10%, E(rq) = 15%, σq =...
Two assets P and Q, E(rp) = 10%, σp = 10%, E(rq) = 15%, σq =
25%. The risk-free rate of interest (on bills) is 5%.
Now, let’s allow borrowing on margin. Investors can buy P and Q
on margin (but not both). The borrowing rate is the risk-free rate.
State whether the following statements are true or false and give
reasons:
(a) “Investor who prefers P to Q must be risk-averse.”
(b) “Investor who prefers Q to P cannot...
Year Rp Rm Rf 2000 18.1832 -24.9088 5.112 2001 -3.454 -15.1017 5.051 2002 47.5573 20.784 3.816...
Year
Rp
Rm
Rf
2000
18.1832
-24.9088
5.112
2001
-3.454
-15.1017
5.051
2002
47.5573
20.784
3.816
2003
28.7035
9.4163
4.2455
2004
29.8613
8.7169
4.2182
2005
11.2167
16.3272
4.3911
2006
32.2799
14.5445
4.7022
2007
-41.0392
-36.0483
4.0232
2008
17.6082
9.7932
2.2123
2009
14.1058
16.5089
3.8368
2010
16.1978
8.0818
3.2935
2011
11.558
15.1984
1.8762
2012
42.993
27.1685
1.7574
2013
18.8682
17.2589
3.0282
2014
-1.4678
5.1932
2.1712
2015
9.2757
4.4993
2.2694
2016
8.5985
23.624
2.4443
When performing calculations in the following problems, use...
Year Rp Rm Rf 2000 18.1832 -24.9088 5.112 2001 -3.454 -15.1017 5.051 2002 47.5573 20.784 3.816...
Year
Rp
Rm
Rf
2000
18.1832
-24.9088
5.112
2001
-3.454
-15.1017
5.051
2002
47.5573
20.784
3.816
2003
28.7035
9.4163
4.2455
2004
29.8613
8.7169
4.2182
2005
11.2167
16.3272
4.3911
2006
32.2799
14.5445
4.7022
2007
-41.0392
-36.0483
4.0232
2008
17.6082
9.7932
2.2123
2009
14.1058
16.5089
3.8368
2010
16.1978
8.0818
3.2935
2011
11.558
15.1984
1.8762
2012
42.993
27.1685
1.7574
2013
18.8682
17.2589
3.0282
2014
-1.4678
5.1932
2.1712
2015
9.2757
4.4993
2.2694
2016
8.5985
23.624
2.4443
When performing calculations in the following problems, use...
Year Rp Rm Rf 2000 18.1832 -24.9088 5.112 2001 -3.454 -15.1017 5.051 2002 47.5573 20.784 3.816...
Year
Rp
Rm
Rf
2000
18.1832
-24.9088
5.112
2001
-3.454
-15.1017
5.051
2002
47.5573
20.784
3.816
2003
28.7035
9.4163
4.2455
2004
29.8613
8.7169
4.2182
2005
11.2167
16.3272
4.3911
2006
32.2799
14.5445
4.7022
2007
-41.0392
-36.0483
4.0232
2008
17.6082
9.7932
2.2123
2009
14.1058
16.5089
3.8368
2010
16.1978
8.0818
3.2935
2011
11.558
15.1984
1.8762
2012
42.993
27.1685
1.7574
2013
18.8682
17.2589
3.0282
2014
-1.4678
5.1932
2.1712
2015
9.2757
4.4993
2.2694
2016
8.5985
23.624
2.4443
When performing calculations in the following problems, use...
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