Question
1. Assume the following information over a five-year period. Average risk0free rate = 6% Average return for Crane Stock = 11% Average return for Load
1. Assume the following information over a five-year period.
- Average risk0free rate = 6%
- Average return for Crane Stock = 11%
- Average return for Load Stock= 14%
- Standard Deviation Crane Stock Returns = 2%
- Standard Deviation Load Stock Returns = 4%
- Beta of Crane Stock = 0.8
- Beta of Load Stock = 1.1
Determine which stock has higher risk-adjusted returns according to the Sharpe Index. Which stock has the higher risk-adjusted returns according to the Treynor Index?
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A First Course in Quantitative Finance
Authors: Thomas Mazzoni
1st edition
9781108411431, 978-1108419574
