Question
Below shows the US$ monthly returns of portfolio investment in various countries by your company: Country Risk-free return Average Return Standard Beta (%) (%) Deviation
Below shows the US$ monthly returns of portfolio investment in various countries by your company:
| Country | Risk-free return | Average Return | Standard | Beta |
|
| (%) | (%) | Deviation (%) |
|
| Singapore | 0.40 | 0.90 | 6.00 | 1.00 |
| Hong Kong | 0.40 | 1.25 | 6.75 | 1.20 |
| Japan | 0.40 | 0.75 | 4.50 | 0.90 |
| China | 0.40 | 1.45 | 6.80 | 1.35 |
| United States | 0.40 | 1.00 | 5.50 | 0.9 |
1) Calculate and rank the country portfolios by Treynor Measure
2) Calculate and rank the country portfolios by Sharpe Measure
3) Being a financial controller who is able to determine a global beta for your companys portfolio and holds a portfolio that is well-diversified with international investments, which performance measure is more appropriate, the Sharpe Measure or the Treynor Measure? Explain why.
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