2. Assume the U.S. dollar returns (monthly averages) shown below for the three European countries. Market...
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2. Assume the U.S. dollar returns (monthly averages) shown below for the three European countries. Market Mean Return (R, %) Risk-Free Rate (rfr, %) Standard Deviation (0) Country Beta (B) Slovenia 2.00% 0.19% 0.2300 1.59 Slovakia 1.85% 0.19% 0.1375 1.50 Estonia 0.95% 0.19% 0.0988 1:25 Based on the table above: (a) Calculate the Sharpe and Treynor measures of market performance in these three European countries. (12 marks) (b) Rank these countries from well-diversified portfolio to poorly diversified portfolio based on the Sharpe and Treynor measures (6 marks) [50 marks] 2. Assume the U.S. dollar returns (monthly averages) shown below for the three European countries. Market Mean Return (R, %) Risk-Free Rate (rfr, %) Standard Deviation (0) Country Beta (B) Slovenia 2.00% 0.19% 0.2300 1.59 Slovakia 1.85% 0.19% 0.1375 1.50 Estonia 0.95% 0.19% 0.0988 1:25 Based on the table above: (a) Calculate the Sharpe and Treynor measures of market performance in these three European countries. (12 marks) (b) Rank these countries from well-diversified portfolio to poorly diversified portfolio based on the Sharpe and Treynor measures (6 marks) [50 marks]
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Evaluating Market Performance in Three European Countries Sharpe and Treynor Ratios for RiskAdjusted Returns We can use the Sharpe ratio and Treynor r... View the full answer
Related Book For
Financial Management Theory and Practice
ISBN: 978-0176517304
2nd Canadian edition
Authors: Eugene Brigham, Michael Ehrhardt, Jerome Gessaroli, Richard Nason
Posted Date:
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