Question
8. A stock has an annual return of 15 percent and a standard deviation of 58 percent. What is the smallest expected gain over the
8. A stock has an annual return of 15 percent and a standard deviation of 58 percent. What is the smallest expected gain over the next year with a probability of 2.5 percent?
9. Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .97.
| Year | Fund | Market | Risk-Free |
|---|---|---|---|
| 2008 | -18.20% | -35.5% | 2% |
| 2009 | 25.1 | 20.6 | 5 |
| 2010 | 13.5 | 12.7 | 2 |
| 2011 | 6.8 | 8.4 | 6 |
| 2012 | -1.86 | -4.2 | 3 |
What are the Sharpe and Treynor ratios for the fund?
| Sharpe | |
| Treynor |
10. Consider the following information for a mutual fund, the market index, and the risk-free rate. You also know that the return correlation between the fund and the market is .95.
| Year | Fund | Market | Risk-Free |
|---|---|---|---|
| 2008 | -19.40% | -37.5% | 1% |
| 2009 | 25.1 | 20.8 | 4 |
| 2010 | 13.7 | 13.3 | 2 |
| 2011 | 7.2 | 8.4 | 6 |
| 2012 | -1.98 | -4.2 | 2 |
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Victorian Literature And Finance
Authors: Francis O'Gorman
1st Edition
0199281920, 978-0199281923
