Risk-Adjusted Performance Measures Sharpe Ratio Treynor's Measure Information Ratio A 0.4750 -0.0082 -0.0952 X-0.0256 B -0.0213 -0.0063 C -0.1429 -0.0240 X X X-0.4478 Market 0.4750 0.0950
Risk-Adjusted Performance Measures Sharpe Ratio Treynor's Measure Information Ratio A 0.4750 -0.0082 -0.0952 X-0.0256 B -0.0213 -0.0063 C -0.1429 -0.0240 X X X-0.4478 Market 0.4750 0.0950
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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Concept explainers
Risk and return
Before understanding the concept of Risk and Return in Financial Management, understanding the two-concept Risk and return individually is necessary.
Capital Asset Pricing Model
Capital asset pricing model, also known as CAPM, shows the relationship between the expected return of the investment and the market at risk. This concept is basically used particularly in the case of stocks or shares. It is also used across finance for pricing assets that have higher risk identity and for evaluating the expected returns for the assets given the risk of those assets and also the cost of capital.
Question
v. 2
Transcribed Image Text:Market Data
Risk-Free Rate
Alpha
Beta
Market Data
Company Data
Residual standard deviation, o(e)
Standard Deviation of Excess Return
Return
Risk-Adjusted Performance Measures
0.120
0.025
Sharpe Ratio
Treynor's Measure
Information Ratio
A
0.015
1.200
0.105
0.245
Standard Deviation
0.200
0.000
A
0.4750
-0.0082
-0.0952
B
0.020
0.800
0.195
0.235
Required:
Using the data above, please solve for the Sharpe Ratio, Treynor's Measure, and Information Ratio.
X-0.0256
(Use cells A3 to D10 from the given information to complete this question. Negative answers should be input and displayed as a negative
values. All other answers should be input and displayed as positive values.)
Beta
B
-0.0213
-0.0063
1.000
0.000
с
-0.005
1.250
0.067
0.210
C
-0.1429
-0.0240
X-0.4478
X
Market
0.4750
0.0950
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