标题: Reading 7: Statistical Concepts and Market Returns-LOS i, (P [打印本页]
作者: bmaggie 时间: 2010-4-9 15:07 标题: [2010]Session 2:-Reading 7: Statistical Concepts and Market Returns-LOS i, (P
Session 2: Quantitative Methods: Basic Concepts
Reading 7: Statistical Concepts and Market Returns
LOS i, (Part 2): Define, calculate, and interpret the Sharpe ratio.
A portfolio of options had a return of 22% with a standard deviation of 20%. If the risk-free rate is 7.5%, what is the Sharpe ratio for the portfolio?
作者: bmaggie 时间: 2010-4-9 15:08
A portfolio of options had a return of 22% with a standard deviation of 20%. If the risk-free rate is 7.5%, what is the Sharpe ratio for the portfolio?
Sharpe ratio = (22% – 7.50%) / 20% = 0.725.
作者: bmaggie 时间: 2010-4-9 15:08
A higher Sharpe ratio indicates:
|
A) |
lower volatility of returns. | |
|
B) |
a lower risk per unit of return. | |
|
C) |
a higher excess return per unit of risk. | |
作者: bmaggie 时间: 2010-4-9 15:08
A higher Sharpe ratio indicates:
|
A) |
lower volatility of returns. | |
|
B) |
a lower risk per unit of return. | |
|
C) |
a higher excess return per unit of risk. | |
The Sharpe ratio is excess return (return ? Rf) per unit of risk (defined as the standard deviation of returns).
作者: bmaggie 时间: 2010-4-9 15:09
A portfolio has a return of 14.2% and a Sharpe’s measure of 3.52. If the risk-free rate is 4.7%, what is the standard deviation of returns?
作者: bmaggie 时间: 2010-4-9 15:09
A portfolio has a return of 14.2% and a Sharpe’s measure of 3.52. If the risk-free rate is 4.7%, what is the standard deviation of returns?
Standard Deviation of Returns = (14.2% – 4.7%) / 3.52 = 2.6988.
作者: bmaggie 时间: 2010-4-9 15:10
Portfolio A earned a return of 10.23% and had a standard deviation of returns of 6.22%. If the return over the same period on Treasury bills (T-bills) was 0.52% and the return to Treasury bonds (T-bonds) was 4.56%, what is the Sharpe ratio of the portfolio?
作者: bmaggie 时间: 2010-4-9 15:10
Portfolio A earned a return of 10.23% and had a standard deviation of returns of 6.22%. If the return over the same period on Treasury bills (T-bills) was 0.52% and the return to Treasury bonds (T-bonds) was 4.56%, what is the Sharpe ratio of the portfolio?
Sharpe ratio = (Rp – Rf) / σp, where (Rp – Rf) is the difference between the portfolio return and the risk free rate, and σp is the standard deviation of portfolio returns. Thus, the Sharpe ratio is: (10.23 – 0.52) / 6.22 = 1.56. Note, the T-bill rate is used for the risk free rate.
作者: bmaggie 时间: 2010-4-9 15:10
The mean monthly return on U.S. Treasury bills (T-bills) is 0.42%. The mean monthly return for an index of small stocks is 4.56%, with a standard deviation of 3.56%. What is the Sharpe measure for the index of small stocks?
作者: bmaggie 时间: 2010-4-9 15:10
The mean monthly return on U.S. Treasury bills (T-bills) is 0.42%. The mean monthly return for an index of small stocks is 4.56%, with a standard deviation of 3.56%. What is the Sharpe measure for the index of small stocks?
The Sharpe ratio measures excess return per unit of risk. (4.56 – 0.42) / 3.56 = 1.16%.
作者: bmaggie 时间: 2010-4-9 15:10
Which of the following statements regarding the Sharpe ratio is most accurate? The Sharpe ratio measures:
|
A) |
excess return per unit of risk. | |
|
B) |
peakedness of a return distrubtion. | |
|
C) |
total return per unit of risk. | |
作者: bmaggie 时间: 2010-4-9 15:11
Which of the following statements regarding the Sharpe ratio is most accurate? The Sharpe ratio measures:
|
A) |
excess return per unit of risk. | |
|
B) |
peakedness of a return distrubtion. | |
|
C) |
total return per unit of risk. | |
The Sharpe ratio measures excess return per unit of risk. Remember that the numerator of the Sharpe ratio is (portfolio return ? risk free rate), hence the importance of excess return. Note that peakedness of a return distribution is measured by kurtosis.
作者: bmaggie 时间: 2010-4-9 15:11
Portfolio A earned an annual return of 15% with a standard deviation of 28%. If the mean return on Treasury bills (T-bills) is 4%, the Sharpe ratio for the portfolio is:
作者: bmaggie 时间: 2010-4-9 15:11
Portfolio A earned an annual return of 15% with a standard deviation of 28%. If the mean return on Treasury bills (T-bills) is 4%, the Sharpe ratio for the portfolio is:
作者: bmaggie 时间: 2010-4-9 15:11
Johnson Inc. manages a growth portfolio of equity securities that has had a mean monthly return of 1.4% and a standard deviation of returns of 10.8%. Smith Inc. manages a blended equity and fixed income portfolio that has had a mean monthly return of 1.2% and a standard deviation of returns of 6.8%. The mean monthly return on Treasury bills has been 0.3%. Based on the Sharpe ratio, the:
|
A) |
Johnson and Smith portfolios have exhibited the same risk-adjusted performance. | |
|
B) |
performance of the Smith portfolio is preferable to the performance of the Johnson portfolio. | |
|
C) |
performance of the Johnson portfolio is preferable to the performance of the Smith portfolio. | |
作者: bmaggie 时间: 2010-4-9 15:11
Johnson Inc. manages a growth portfolio of equity securities that has had a mean monthly return of 1.4% and a standard deviation of returns of 10.8%. Smith Inc. manages a blended equity and fixed income portfolio that has had a mean monthly return of 1.2% and a standard deviation of returns of 6.8%. The mean monthly return on Treasury bills has been 0.3%. Based on the Sharpe ratio, the:
|
A) |
Johnson and Smith portfolios have exhibited the same risk-adjusted performance. | |
|
B) |
performance of the Smith portfolio is preferable to the performance of the Johnson portfolio. | |
|
C) |
performance of the Johnson portfolio is preferable to the performance of the Smith portfolio. | |
The Sharpe ratio for the Johnson portfolio is (1.4 - 0.3)/10.8 = 0.1019.
The Sharpe ratio for the Smith portfolio is (1.2 - 0.3)/6.8 = 0.1324.
The Smith portfolio has the higher Sharpe ratio, or greater excess return per unit of risk.
作者: zaestau 时间: 2010-4-26 18:23
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