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Calculate the following statistics for each stock: Note: Round your answers to 4 decimal places. i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A % Stock B %

Calculate the following statistics for each stock: Note: Round your answers to 4 decimal places. i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A % Stock B %

Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
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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. Index model regression estimates R-square Residual standard deviation, a(e) Standard deviation of excess returns Required: a. Calculate the following statistics for each stock: b. Which stock is the best choice under the following circumstances? Required A Required B Complete this question by entering your answers in the tabs below. Calculate the following statistics for each stock: Note: Round your answers to 4 decimal places. i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A 1% + 1.2 (rm -rf) 0.677 12.0% 23.3% Stock A % Stock B Stock B 2% +0.8( rm -rf) % 0.487 20.8% 28.3%
Transcribed Image Text: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. Index model regression estimates R-square Residual standard deviation, a(e) Standard deviation of excess returns Required: a. Calculate the following statistics for each stock: b. Which stock is the best choice under the following circumstances? Required A Required B Complete this question by entering your answers in the tabs below. Calculate the following statistics for each stock: Note: Round your answers to 4 decimal places. i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A 1% + 1.2 (rm -rf) 0.677 12.0% 23.3% Stock A % Stock B Stock B 2% +0.8( rm -rf) % 0.487 20.8% 28.3%
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