The following data are available relating to the performance of Tiger Fund and the market portfolio: Tiger Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 1.25 1.00 Residual standard deviation 2 % 0 % The risk-free return during the sample period was 7%. Calculate Sharpe's measure of performance for Tiger Fund.
The following data are available relating to the performance of Tiger Fund and the market portfolio: Tiger Market Portfolio Average return 18 % 15 % Standard deviations of returns 25 % 20 % Beta 1.25 1.00 Residual standard deviation 2 % 0 % The risk-free return during the sample period was 7%. Calculate Sharpe's measure of performance for Tiger Fund.
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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The following data are available relating to the performance of Tiger Fund and the market portfolio:
Tiger | Market Portfolio | |||
Average return | 18 | % | 15 | % |
Standard deviations of returns | 25 | % | 20 | % |
Beta | 1.25 | 1.00 | ||
Residual standard deviation | 2 | % | 0 | % |
The risk-free return during the sample period was 7%.
Calculate Sharpe's measure of performance for Tiger Fund.
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