Please calculate the Sharpe ratio of monthly returns of Chinese stocks between 1991-1 and 2018-11 . Hint: column Return is the monthly A share return. Please use monthly rate of PBC rate as the risk-free rate Rf)
| | A. | 0.093 |
| | B. | 0.124 |
| | C. | 0.0116 |
| | D. | 0.0155 |
1 399106 Index Ret Level 12 to=foo aaaaa 15 16 17 18 Markettyp Trdynt Cyretwdos PBC Rate Stock-Rf 000001 Index Level Ret 53 1990 127.61 53 1991 1.876446 7.92% 179.72% 292.75 53 1992 0.789328 7.20% 71.73% 780.39 53 1993 0.058472 7.20% -1.35% 833.8 53 1994 -0.334085 10.08% 43.49% 647.87 53 1995 -0.125092 10.26% -22.77% 555.29 53 1996 1.212386 10.44% 110.80% 917.02 53 1997 0.334136 9.00% 24.41% 1194.1 53 1998 -0.051701 8.55% -13.72% 1146.7 53 1999 0.178867 4.59% 13.30% 1366.58 53 2000 0.563011 3.24% 53.06% 2073.48 53 2001 -0.24299 3.24% -27.54% 1645.97 53 2002 -0.186423 2.70% -21.34% 1357.65 53 2003 -0.036015 2.70% -6.30% 1497.04 53 2004 -0.157536 2.70% -18.45% 1266.5 53 2005 -0.099066 3.33% -13.24% 1161.06 53 2006 1.100688 3.33% 106.74% 2675.47 53 2007 1.74403 3.33% 171.07% 5261.56 53 2008 -0.626519 4.14% -66.79% 1820.81 53 2009 1.089689 2.79% 106.18% 3277.14 53 2010 -0.06833 2.79% -9.62% 2808.08 53 2011 -0.215199 3.25% -24.77% 2199.42 53 2012 0.050393 3.25% 1.79% 2269.128 53 2013 0.000513 3.25% -3.20% 2115.978 53 2014 0.531796 3.25% 49.93% 3234.677 53 2015 0.234627 3.25% 20.21% 3539.182 53 2016 -0.106471 2.90% -13.55% 3103.637 53 2017 0.082269 2.90% 5.33% 3307.172 53 2018 -0.248686 2.90% -27.77% 2493.896 53 2019 0.293361 2.90% 26.44% 3050.124 53 2020 0.234735 2.90% 20.57% 3473.069 129.41% 166.57% 6.84% -22.30% -14.29% 65.14% 30.22% -3.97% 19.18% 51.73% -20.62% -17.52% 10.27% -15.40% -8.33% 130.43% 96.66% -65.39% 79.98% -14.31% -21.68% 3.17% -6.75% 52.87% 9.41% -12.31% 6.56% -24.59% 22.30% 13.87% 110.37 241.21 238.28 140.63 113.25 327.46 381.29 343.85 402.18 635.73 475.94 388.76 378.63 315.81 278.75 550.59 1447.02 553.3 1201.34 1290.87 866.65 881.169 1057.665 1415.191 2308.907 1969.112 1899.344 1267.869 1722.945 2329.371 118.55% -1.21% 40.98% -19.47% 189.15% 16.44% -9.82% 16.96% 58.07% -25.13% -18.32% -2.61% -16.59% -11.73% 97.52% 162.81% -61.76% 117.12% 7.45% -32.86% 1.68% 20.03% 33.80% 63.15% -14.72% -3.54% -33.25% 35.89% 35.20% 129.41% 142.56% 2.81% -31.64% -16.88% 127.15% 23.33% -6.89% 18.07% 54.90% -22.88% -17.92% 3.83% -16.00% -10.03% 113.98% 129.74% -63.58% 98.55% -3.43% -27.27% 2.42% 6.64% 43.34% 36.28% -13.51% 1.51% -28.92% 29.10% 24.53% 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Compounded Value of $ 100 Index Avg(sh,sz) S&P 1991 1993 2000 1991 2000 100 100 100 100 287.6446 279.7246 229.40992 130.23 514.6905368 100 480.37889 556.4554 139.9842 544.7855219 105.8472 473.88032 572.11769 153.9407 362.7808508 70.48523819 267.79688 391.09876 155.9881 317.3998686 61.66809877 206.82167 325.0824 214.0156 702.2110257 136.4336384 435.97719 738.40913 262.5544 936.845009 182.0210286 542.41491 910.6575 349.4599 888.4091852 172.6103594 467.99505 847.87307 448.4968 1047.316271 203.4846565 100 530.22294 100 1001.0787 542.1878 100 1636.966852 318.0487565 156.3011 811.56507 81.682565 1550.6643 493.2282 90.97 1239.200277 240.7660891 118.3214957 588.06817 79.554145 1195.9275 434.7807 80.19006 1008.184843 195.8817525 96.26364752 462.56089 66.355003 981.65226 339.2594 62.5723 971.8750663 188.8270712 92.79671225 433.41262 58.568307 1019.2559 435.4733 80.3178 818.7697559 159.0800097 78.17788939 353.43239 115.68475 856.22018 482.2431 88.94394 737.6575112 143.3205895 70.4331186 306.64996 304.03412 770.3404 505.5355 93.23993 1549.588282 301.0718424 147.958007 633.96444 116.25415 1648.3531 584.4496 107.7947 4252.116733 826.1501677 406.0012101 1718.5064 252.41417 3786.8596 616.4774 113.7018 1588.08481 308.5513908 151.6337379 570.68333 271.22536 1379.233 391.1549 72.14381 3318.603358 644.7764473 316.8673542 1176.6286 182.09228 2738.5033 492.6205 90.85792 3091.84319 600.7188726 295.2158079 1063.4016 185.14288 2644.5648 565.6269 104.3231 2426.481628 471.444772 231.6856612 799.99812 222.22654 1923.4129 577.505 106.5138 2548.759316 495.2022884 243.3609968 814.31249 297.34651 1970.0045 669.2706 123.4389 2550.06683 495.4563271 243.485841 788.26507 485.12565 2100.8174 884.4411 163.1245 3906.18217 758.9380201 372.9706372 1181.8427 413.73114 3011.2324 1004.018 185.1789 4822.677974 937.0053709 460.4796189 1420.725 399.07215 4103.7886 1017.873 187.7344 4309.202627 837.2414721 411.4518934 1228.258 266.39261 3549.3036 1137.677 209.8307 4663.716418 906.1204907 445.3016293 1293.686 362.00887 3602.8064 1383.529 255.1752 3503.915437 680.7810104 334.5613483 934.44753 362.00887 2560.9056 1325.005 244.3812 4531.827573 880.4956084 432.7086 1181.479 362.00887 3306.0851 1738.672 320.6771 5595.606119 1087.178745 534.2804532 1424.5506 362.00887 4117.1264 2051.807 378.431 1991 1993 2000 26.26% 18.61% 18.75% 21.57% 16.25% 24.31% 14.36% 8.90% 8.31% 9.26% 6.32% 12.74% 60.79% 53.30% 55.47% 53.43% 49.36% 56.32% 0.3572 0.2652 0.2822 Ari. Avg Geo. Avg St.dev Sharpe 0009 O O 1999 1990 2000 2001 2002 2003 1995 2004 2005 2006 2007 2000 2008 2009 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2010 2011 2005 2012 2013 2014 2015 2010 2016 2017 2018 2019 2015 2020 -Index -Total Return -S&P -China 2020 S&P China 1 399106 Index Ret Level 12 to=foo aaaaa 15 16 17 18 Markettyp Trdynt Cyretwdos PBC Rate Stock-Rf 000001 Index Level Ret 53 1990 127.61 53 1991 1.876446 7.92% 179.72% 292.75 53 1992 0.789328 7.20% 71.73% 780.39 53 1993 0.058472 7.20% -1.35% 833.8 53 1994 -0.334085 10.08% 43.49% 647.87 53 1995 -0.125092 10.26% -22.77% 555.29 53 1996 1.212386 10.44% 110.80% 917.02 53 1997 0.334136 9.00% 24.41% 1194.1 53 1998 -0.051701 8.55% -13.72% 1146.7 53 1999 0.178867 4.59% 13.30% 1366.58 53 2000 0.563011 3.24% 53.06% 2073.48 53 2001 -0.24299 3.24% -27.54% 1645.97 53 2002 -0.186423 2.70% -21.34% 1357.65 53 2003 -0.036015 2.70% -6.30% 1497.04 53 2004 -0.157536 2.70% -18.45% 1266.5 53 2005 -0.099066 3.33% -13.24% 1161.06 53 2006 1.100688 3.33% 106.74% 2675.47 53 2007 1.74403 3.33% 171.07% 5261.56 53 2008 -0.626519 4.14% -66.79% 1820.81 53 2009 1.089689 2.79% 106.18% 3277.14 53 2010 -0.06833 2.79% -9.62% 2808.08 53 2011 -0.215199 3.25% -24.77% 2199.42 53 2012 0.050393 3.25% 1.79% 2269.128 53 2013 0.000513 3.25% -3.20% 2115.978 53 2014 0.531796 3.25% 49.93% 3234.677 53 2015 0.234627 3.25% 20.21% 3539.182 53 2016 -0.106471 2.90% -13.55% 3103.637 53 2017 0.082269 2.90% 5.33% 3307.172 53 2018 -0.248686 2.90% -27.77% 2493.896 53 2019 0.293361 2.90% 26.44% 3050.124 53 2020 0.234735 2.90% 20.57% 3473.069 129.41% 166.57% 6.84% -22.30% -14.29% 65.14% 30.22% -3.97% 19.18% 51.73% -20.62% -17.52% 10.27% -15.40% -8.33% 130.43% 96.66% -65.39% 79.98% -14.31% -21.68% 3.17% -6.75% 52.87% 9.41% -12.31% 6.56% -24.59% 22.30% 13.87% 110.37 241.21 238.28 140.63 113.25 327.46 381.29 343.85 402.18 635.73 475.94 388.76 378.63 315.81 278.75 550.59 1447.02 553.3 1201.34 1290.87 866.65 881.169 1057.665 1415.191 2308.907 1969.112 1899.344 1267.869 1722.945 2329.371 118.55% -1.21% 40.98% -19.47% 189.15% 16.44% -9.82% 16.96% 58.07% -25.13% -18.32% -2.61% -16.59% -11.73% 97.52% 162.81% -61.76% 117.12% 7.45% -32.86% 1.68% 20.03% 33.80% 63.15% -14.72% -3.54% -33.25% 35.89% 35.20% 129.41% 142.56% 2.81% -31.64% -16.88% 127.15% 23.33% -6.89% 18.07% 54.90% -22.88% -17.92% 3.83% -16.00% -10.03% 113.98% 129.74% -63.58% 98.55% -3.43% -27.27% 2.42% 6.64% 43.34% 36.28% -13.51% 1.51% -28.92% 29.10% 24.53% 20 21 22 23 24 25 26 27 28 29 30 31 32 33 Compounded Value of $ 100 Index Avg(sh,sz) S&P 1991 1993 2000 1991 2000 100 100 100 100 287.6446 279.7246 229.40992 130.23 514.6905368 100 480.37889 556.4554 139.9842 544.7855219 105.8472 473.88032 572.11769 153.9407 362.7808508 70.48523819 267.79688 391.09876 155.9881 317.3998686 61.66809877 206.82167 325.0824 214.0156 702.2110257 136.4336384 435.97719 738.40913 262.5544 936.845009 182.0210286 542.41491 910.6575 349.4599 888.4091852 172.6103594 467.99505 847.87307 448.4968 1047.316271 203.4846565 100 530.22294 100 1001.0787 542.1878 100 1636.966852 318.0487565 156.3011 811.56507 81.682565 1550.6643 493.2282 90.97 1239.200277 240.7660891 118.3214957 588.06817 79.554145 1195.9275 434.7807 80.19006 1008.184843 195.8817525 96.26364752 462.56089 66.355003 981.65226 339.2594 62.5723 971.8750663 188.8270712 92.79671225 433.41262 58.568307 1019.2559 435.4733 80.3178 818.7697559 159.0800097 78.17788939 353.43239 115.68475 856.22018 482.2431 88.94394 737.6575112 143.3205895 70.4331186 306.64996 304.03412 770.3404 505.5355 93.23993 1549.588282 301.0718424 147.958007 633.96444 116.25415 1648.3531 584.4496 107.7947 4252.116733 826.1501677 406.0012101 1718.5064 252.41417 3786.8596 616.4774 113.7018 1588.08481 308.5513908 151.6337379 570.68333 271.22536 1379.233 391.1549 72.14381 3318.603358 644.7764473 316.8673542 1176.6286 182.09228 2738.5033 492.6205 90.85792 3091.84319 600.7188726 295.2158079 1063.4016 185.14288 2644.5648 565.6269 104.3231 2426.481628 471.444772 231.6856612 799.99812 222.22654 1923.4129 577.505 106.5138 2548.759316 495.2022884 243.3609968 814.31249 297.34651 1970.0045 669.2706 123.4389 2550.06683 495.4563271 243.485841 788.26507 485.12565 2100.8174 884.4411 163.1245 3906.18217 758.9380201 372.9706372 1181.8427 413.73114 3011.2324 1004.018 185.1789 4822.677974 937.0053709 460.4796189 1420.725 399.07215 4103.7886 1017.873 187.7344 4309.202627 837.2414721 411.4518934 1228.258 266.39261 3549.3036 1137.677 209.8307 4663.716418 906.1204907 445.3016293 1293.686 362.00887 3602.8064 1383.529 255.1752 3503.915437 680.7810104 334.5613483 934.44753 362.00887 2560.9056 1325.005 244.3812 4531.827573 880.4956084 432.7086 1181.479 362.00887 3306.0851 1738.672 320.6771 5595.606119 1087.178745 534.2804532 1424.5506 362.00887 4117.1264 2051.807 378.431 1991 1993 2000 26.26% 18.61% 18.75% 21.57% 16.25% 24.31% 14.36% 8.90% 8.31% 9.26% 6.32% 12.74% 60.79% 53.30% 55.47% 53.43% 49.36% 56.32% 0.3572 0.2652 0.2822 Ari. Avg Geo. Avg St.dev Sharpe 0009 O O 1999 1990 2000 2001 2002 2003 1995 2004 2005 2006 2007 2000 2008 2009 1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 2020 2010 2011 2005 2012 2013 2014 2015 2010 2016 2017 2018 2019 2015 2020 -Index -Total Return -S&P -China 2020 S&P China
