Question
33. The table in the shows the net returns (as a decimal) of five stocks A, B, C, D, E, F, G, and H for
33. The table in the shows the net returns (as a decimal) of five stocks A, B, C, D, E, F, G, and H for 50 months. In the beginning (at the month 0), you computed the optimal portfolio weights for these eight stocks which are the numbers in the second row of the table. If you keep the same weights always by rebalancing every month, what would be the monthly sample Sharpe ratio (sample risk premium over sample volatility) for the whole period if the monthly risk free rate for this period is 0.2%? Express your answer as a decimal and round your answer. For example, type 0.5136.
Month A B C D E F G H 0.15 0.12 0.05 0.13 0.22 0.18 0.09 0.06 1 0.0244 0.0154 0.0040 -0.0022 0.0237 0.0232 0.0124 0.0019 2 0.0013 0.0062 -0.0253 0.0017 -0.0109 0.0034 -0.0058 -0.0170 3 0.0036 -0.0021 0.0304 0.0308 0.0241 0.0017 0.0107 0.0336 4 0.0211 0.0248 0.0185 0.0033 -0.0028 0.0246 0.0247 0.0143 5 0.0169 0.0059 0.0138 0.0216 -0.0016 0.0142 0.0096 0.0183 6 0.0098 0.0166 0.0057 0.0212 -0.0032 0.0135 0.0139 0.0125 7 -0.0042 0.0066 -0.0065 -0.0206 0.0053 -0.0003 0.0020 -0.0128 8 0.0234 0.0283 -0.0045 -0.0175 0.0143 0.0277 0.0180 -0.0101 9 0.0151 0.0226 0.0197 0.0115 0.0137 0.0196 0.0237 0.0184 10 0.0089 0.0014 0.0029 0.0033 -0.0150 0.0068 0.0021 0.0033 11 -0.0083 -0.0181 -0.0062 0.0045 -0.0044 -0.0130 -0.0151 -0.0025 12 0.0121 0.0183 0.0206 0.0264 -0.0108 0.0158 0.0211 0.0250 13 0.0285 0.0167 0.0002 -0.0133 0.0021 0.0266 0.0118 -0.0052 14 0.0093 0.0249 0.0216 0.0145 0.0010 0.0165 0.0260 0.0209 15 0.0163 0.0130 0.0186 0.0212 -0.0126 0.0166 0.0165 0.0215 16 0.0078 0.0100 0.0125 -0.0071 0.0106 0.0095 0.0120 0.0059 17 0.0178 0.0006 0.0063 -0.0023 0.0125 0.0127 0.0029 0.0035 18 0.0035 0.0134 0.0210 0.0215 -0.0047 0.0078 0.0178 0.0233 19 -0.0134 0.0110 0.0239 -0.0098 0.0262 -0.0050 0.0172 0.0128 20 -0.0020 -0.0028 -0.0025 -0.0014 -0.0013 -0.0025 -0.0030 -0.0023 21 0.0237 0.0232 0.0124 0.0019 0.0244 0.0154 0.0040 -0.0022 22 -0.0109 0.0034 -0.0058 -0.0170 0.0013 0.0062 -0.0253 0.0017 23 0.0241 0.0017 0.0107 0.0336 0.0036 -0.0021 0.0304 0.0308 24 -0.0028 0.0246 0.0247 0.0143 0.0211 0.0248 0.0185 0.0033 25 -0.0016 0.0142 0.0096 0.0183 0.0169 0.0059 0.0138 0.0216 26 -0.0032 0.0135 0.0139 0.0125 0.0098 0.0166 0.0057 0.0212 27 0.0053 -0.0003 0.0020 -0.0128 -0.0042 0.0066 -0.0065 -0.0206 28 0.0143 0.0277 0.0180 -0.0101 0.0234 0.0283 -0.0045 -0.0175 29 0.0137 0.0196 0.0237 0.0184 0.0151 0.0226 0.0197 0.0115 30 -0.0150 0.0068 0.0021 0.0033 0.0089 0.0014 0.0029 0.0033 31 -0.0044 -0.0130 -0.0151 -0.0025 -0.0083 -0.0181 -0.0062 0.0045 32 -0.0108 0.0158 0.0211 0.0250 0.0121 0.0183 0.0206 0.0264 33 0.0021 0.0266 0.0118 -0.0052 0.0285 0.0167 0.0002 -0.0133 34 0.0010 0.0165 0.0260 0.0209 0.0093 0.0249 0.0216 0.0145 35 -0.0126 0.0166 0.0165 0.0215 0.0163 0.0130 0.0186 0.0212 36 0.0106 0.0095 0.0120 0.0059 0.0078 0.0100 0.0125 -0.0071 37 0.0125 0.0127 0.0029 0.0035 0.0178 0.0006 0.0063 -0.0023 38 -0.0047 0.0078 0.0178 0.0233 0.0035 0.0134 0.0210 0.0215 39 0.0262 -0.0050 0.0172 0.0128 -0.0134 0.0110 0.0239 -0.0098 40 -0.0013 -0.0025 -0.0030 -0.0023 0.0063 -0.0023 0.0125 0.0127 41 0.0021 0.0033 0.0089 0.0014 0.0210 0.0215 -0.0047 0.0078 42 -0.0151 -0.0025 -0.0083 -0.0181 0.0239 -0.0098 0.0262 -0.0050 43 0.0211 0.0250 0.0121 0.0183 -0.0025 -0.0014 -0.0013 -0.0025 44 0.0118 -0.0052 0.0285 0.0167 0.0124 0.0019 0.0244 0.0154 45 0.0260 0.0209 0.0093 0.0249 -0.0058 -0.0170 0.0013 0.0062 46 0.0165 0.0215 0.0163 0.0130 0.0107 0.0336 0.0036 -0.0021 47 0.0120 0.0059 0.0078 0.0100 0.0247 0.0143 0.0211 0.0248 48 0.0029 0.0035 0.0178 0.0006 0.0096 0.0183 0.0169 0.0059 49 0.0178 0.0233 0.0035 0.0134 0.0139 0.0125 0.0098 0.0166 50 0.0172 0.0128 -0.0134 0.0110 0.0020 -0.0128 -0.0042 0.0066
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