FREE Trial
Answered step by step
Verified Expert Solution
Link Copied!
Question
1 Approved Answer

A strategy has a monthly total return of 0.0025 (0.25%) and a monthly standard deviation of total returns of 0.0040 (0.40% ). The risk

 

A strategy has a monthly total return of 0.0025 (0.25%) and a monthly standard deviation of total returns of 0.0040 (0.40% ). The risk free rate is 2% and the market risk premium is 4%, both per annum. What is the Sharpe ratio of this strategy in annual terms?

Step by Step Solution

There are 3 Steps involved in it

Step: 1

To calculate the Sharpe ratio of the strategy in annual terms we need to use the foll... blur-text-image
Get Instant Access to Expert-Tailored Solutions

See step-by-step solutions with expert insights and AI powered tools for academic success

Step: 2

blur-text-image_2

Step: 3

blur-text-image_3

Ace Your Homework with AI

Get the answers you need in no time with our AI-driven, step-by-step assistance

Get Started

Recommended Textbook for

Introduction To Stochastic Finance With Market Examples
Introduction To Stochastic Finance With Market Examples

Authors: Nicolas Privault

2nd Edition

1032288272, 9781032288277

More Books

Students explore these related Finance questions

Question

KYC's stock price can go up by 15 percent every year, or down by 10 percent. Both outcomes are equally likely. The risk free rate is 5 percent, and the current stock price of KYC is 100. (a) Price a...

Answered: 3 weeks ago

Question

Problem 11-64 (LO 11-5) Terrance is age 72 and retired. Beginning in 2022, he must start taking minimum distributions from his IRA account that had a balance of $170,000 as of December 31, 2021. Make...

Answered: 3 weeks ago

Question

13. What is a lower bound for the price of 3-month call option on a non- dividend-paying stock when the stock price is $50, the strike price is $45, and the 3-month risk-free interest rate is 8%?...

Answered: 3 weeks ago

Question

(b) (i) A long single mode optical fiber has an attenuation of 0.40 dBkm when operating at a wavelength of 1.55 m. The fiber core diameter is 6 pm and the laser source bandwidth is 500 MHz. Determine...

Answered: 3 weeks ago

Question

You have two samples of water, each made up of different isotopes of hydrogen: one contains and the other, a. Would you expect these two water samples to be chemically similar? b. Would you expect...

Answered: 3 weeks ago

Question

6. Add these two input/output (I/O) instructions to the P 3 computer model running on the UP3 board.

Answered: 3 weeks ago

Question

Will other people benefit if I act according to this value?

Answered: 3 weeks ago

Question

Hummer Company purchased a delivery truck. The total cash payment was $30,020, including the following items. Negotiated purchase price..........................$24,000 Installation of special...

Answered: 3 weeks ago

Question

Ownership structure can vary from one company to another, but the most basic form of c offers: O treasury stock. O net income. O preferred stock. common stock

Answered: 3 weeks ago

Question

h) I proceed to study the short-run dynamic of the changes in gold price (LGPRICE) and inflation (INF) and estimated a VAR model. Write down the VAR(1) model using the notation LGPRICE and INF? (j)...

Answered: 3 weeks ago

Question

Time Value Of Money You are graduating in two years and you start thinking about your future. You know that you will want to buy a house five years after you graduate and that you will want to put...

Answered: 3 weeks ago

Question

General Grapplegrommets is an aerospace parts manufacturer founded in 1972 in Wembley, Saskatchewan, that supplies landing gear components for a range of small passenger aircraft. Their head office...

Answered: 3 weeks ago

Question

Part 2: Average Annual Salary of Ohio Employees. 6. Suppose the average annual salary in dollars, A, of an Ohio employee is a function of the time of years since 2010, t. An approximate formula is A...

Answered: 3 weeks ago

Question

Question 1: A large domestic airport handles 90 take-offs per hour. For take-off, an aircraft leaves the gate, taxies for some distance and awaits its turn on the runway. Average time spent by an...

Answered: 3 weeks ago

Question

A bond has a yield to maturity ( YM ) of 5 % , with a maturity of 3 0 years, the coupon payment is 2 5 dollars paid semi - annually. Given that the PAR of the bond is $ 1 , 0 0 0 what is the price of...

Answered: 3 weeks ago

Question

Question 3 d) Your friend Rochelle has launched an online store to sell framed photos of kittens to cat lovers all around the world. Rochelle is worried about some aspects of eCommerce - specifically...

Answered: 3 weeks ago

Question

HUIS Hd Iraud, 29. A petty cash fund of $140 is replenished whe receipts for $133. The entry to replenish the fund would include a 190 is replenished when the fund contains $4 in cash and a. debit...

Answered: 3 weeks ago

Question

How can NAFTA be beneficial to suppliers of Walmart?

Answered: 3 weeks ago

Question

Consider \(\left(B_{t}ight)_{t \in \mathbb{R}_{+}}\)a standard Brownian motion generating the filtration \(\left(\mathcal{F}_{t}ight)_{t \in \mathbb{R}_{+}}\), and let \(\sigma>0\). a) Compute the...

Answered: 3 weeks ago

Question

We consider a bond with maturity \(T\), priced \(P(t, T)=\) \(\mathbb{E}^{*}\left[\mathrm{e}^{-\int_{t}^{T} r_{s} d s} \mid \mathcal{F}_{t} ight]\) at time \(t \in[0, T]\). a) Using the forward...

Answered: 3 weeks ago

Question

Consider a one-step interest rate model, in which the short-term interest rate \(r_{0}\) on \([0,1]\) can turn into two possible values \(r_{1}^{u}=r_{0} \mathrm{e}^{\mu \Delta t+\sigma \sqrt{\Delta...

Answered: 3 weeks ago

Question

11. Favorite Fast Foods Is a customers preference for a fast-food chain affected by the age of the customer? If so, advertising might need to target a particular age group. Suppose a random sample of...

Answered: 3 weeks ago

Question

8. Vehicle Colors No matter the make or model of a new vehicle, white and silver/gray continue to make the top five or six colors across all categories. The top six colors and their percentage of the...

Answered: 3 weeks ago

Question

7. Is Your Food Safe? How confident are you that the food you purchase is safe to eat? This question was asked in a CBS News Poll.17 The data that follow reflect the results of the responses to this...

Answered: 3 weeks ago

Previous Question Next Question