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iv. Treynor measure 9.8330

iv. Treynor measure 9.8330

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 7%, 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 i. ii. iii. iv. Stock A 1% + 1.2 (rm rf) 0.647 11.5% 22.8% Alpha Information ratio Sharpe ratio Treynor measure a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) Answer is not complete. Stock A 1.0000 % 0.0869 0.5175 9.8330 Stock B 2.0000 0.0985 0.3369 Stock B 2% + 8.8( rm -rf) % 0.472 20.3% 27.3%
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 7%, 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 i. ii. iii. iv. Stock A 1% + 1.2 (rm rf) 0.647 11.5% 22.8% Alpha Information ratio Sharpe ratio Treynor measure a. Calculate the following statistics for each stock: (Round your answers to 4 decimal places.) Answer is not complete. Stock A 1.0000 % 0.0869 0.5175 9.8330 Stock B 2.0000 0.0985 0.3369 Stock B 2% + 8.8( rm -rf) % 0.472 20.3% 27.3%
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