Question
On a risk-adjusted basis, did you beat your benchmark? Compute both the Sharpe ratio and Treynor measure. Which of these measures is most appropriate for
On a risk-adjusted basis, did you beat your benchmark? Compute both the Sharpe ratio and Treynor measure. Which of these measures is most appropriate for evaluating your performance? (Think about what the R2 of your portfolio beta regression tells you about this last question.)
- Compute your up-market and down-market betas. Were you good market timers or bad market timers?
- with a 6% expected rate of return
| Stocks | Rate of Return |
| NFLX | -7.46% |
| WMT | -0.49% |
| MCD | 2.08% |
| SBUX | 0.99% |
| TSLA | -8.13% |
| NKE | -1.69% |
| AXP | 2.23% |
| GOOGL | 2.65% |
| Mean | -2.45% |
| Standard Deviation | 3.96 |
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Intermediate Financial Management
Authors: Brigham, Daves
10th Edition
978-1439051764, 1111783659, 9780324594690, 1439051763, 9781111783655, 324594690, 978-1111021573
