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Question 24 ETF Beta Standard Deviation Sharpe Ratio Alpha R-squared Sortino Treynor A .8 25% 2.4 5% 55% .45 4.23 B 1.4 15% 2.2 7%
Question 24
| ETF | Beta | Standard Deviation | Sharpe Ratio | Alpha | R-squared | Sortino | Treynor |
| A | .8 | 25% | 2.4 | 5% | 55% | .45 | 4.23 |
| B | 1.4 | 15% | 2.2 | 7% | 70% | .33 | 3.12 |
You are most concerned with tracking the benchmark index. Which data point is relevant? Which fund do you choose? (choose two answers below.)
| Beta | ||
| Standard devation | ||
| Sharpe Ratio | ||
| Alpha | ||
| R-squared | ||
| Sortino | ||
| Treynor | ||
| A | ||
| B |
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Fundamentals of Investments Valuation and Management
Authors: Bradford D. Jordan, Thomas W. Miller
5th edition
978-007728329, 9780073382357, 0077283295, 73382353, 978-0077283292
