The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio. Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

Question

Want to see more full solutions like this?

Answer 1

Question

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Students have asked these similar questions

Need answer correctly if image is blurr then please comment i will write values. dont give answer with incorrect data . i will give unhelp

Consider the following gasoline sales time series. If needed, round your answers to two decimal digits. Week Sales (1,000s of gallons) 1 17 2 21 3 19 4 23 5 18 6 16 7 20 8 18 9 22 10 20 11 15 12 22 (a) Show the exponential smoothing forecasts using α = 0.1, and α = 0.2. ExponentialSmoothing Week α = 0.1 α = 0.2 13 (b) Applying the MSE measure of forecast accuracy, would you prefer a smoothing constant of α = 0.1 or α = 0.2 for the gasoline sales time series? An smoothing constant provides a more accurate forecast, with an overall MSE of . (c) Are the results the same if you apply MAE as the measure of accuracy? An smoothing constant provides a more accurate forecast, with an overall MAE of . (d) What are the results if MAPE is used? An smoothing constant provides a more accurate forecast, with an overall MAPE of .

After many sunset viewings at SUNY Brockport, Amanda dreams of owning a waterfront home on Lake Ontario. She finds her perfect house listed at $425,000. Leveraging the negotiation skills she developed at school, she persuades the seller to drop the price to $405,000. What would be her annual payment if she opts for a 30-year mortgage from Five Star Bank with an interest rate of 14.95% and no down payment? a- $25,938 b- $26,196 c- $24,500 d- $27,000

Answer 2

Question

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 3

Question

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 4

Question

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Want to see more full solutions like this?

Subscribe now to access step-by-step solutions to millions of textbook problems written by subject matter experts!

Answer 5

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Answer 6

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

Answer 7

Chapter 24, Problem 6CP

A

Summary Introduction

To calculate: The sharpe measures and treynor ratio for portfolio X and S&P 500. And explain the X portfolio performance using treynor measure and the sharpe ratio.

Introduction: Sharpe ratio tells about the risk premium with respect to the total risk of the market. Treynor ratio is defined as the risk premium and risk premium is difference of risk rate and return.

Answer 8

A

Expert Solution

Answer to Problem 6CP

The value of Sharpe ratio is 0.222 and 0.462 and Treynor ratio is 6.67 and 6.

Answer 9

A

Expert Solution

Answer 10

A

Expert Solution

Answer 11

Expert Solution

Answer 12

Explanation of Solution

The Sharpe ratio of the X portfolio and S&P 500 is calculated below,

Sharpe ratio=RP−IRFσP here Rp is portfolio return, IRF is risk free rate, and σp is standard deviation.

For portfolio X, Sharpe ratio = ( .10−.06) / 0.18 = 0.222For S&P 500, Sharpe ratio = ( 0.12−.06)/ .13 = 0.462

Treynor ratio for X portfolio and S&P 500 is calculated below,

Treynor ratio=Rp−IRFβP , here Rp is portfolio return, IRF is risk free rate.

For portfolio X, treynor ratio = ( 10−6)/0.6 = 6.67For S&P 500, treynor ratio = ( 12−6)/1.0 = 6

Answer 13

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.

Answer 14

B

Summary Introduction

To explain: The Risk management in both portfolios and the reason for the result when using treynor measure versus the sharpe ratio.

Introduction: The risk taking of any portfolio is decided by the value of beta and standard deviation. For low value of beta means low risk in the market.

Answer 15

B

Expert Solution

Answer to Problem 6CP

Portfolio X has low risk as the low beta value.

Answer 16

B

Expert Solution

Answer 17

B

Expert Solution

Answer 18

Expert Solution

Answer 19

Explanation of Solution

The risk of portfolios is decided by the value of beta and standard deviation. As from the value portfolio ‘X’ has low beta value. Hence it has lower risk in market. On the other hand the standard deviation value is high for portfolio ‘X’, this means it has high total risk in the market.