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Questions 12 to 16 refer to the following 5-period sequence of gross returns plus the supplementary information provided below: Period Return 1 16% 2 -1%
Questions 12 to 16 refer to the following 5-period sequence of gross returns plus the supplementary information provided below: Period Return 1 16% 2 -1% 3 30% 4 -10% 5 2% Supplementary information: Standard deviation of series Risk-free rate 15.7% 3.0% Question 12 What is the geometric mean of the 5-period return series provided to the nearest decimal place)? (a) 6.2% (b) 6.3% (c) 6.5% (d) 7.4% (e) None of the above Question 13 What is the Sharpe ratio for the return series provided to the nearest two decimal places)? (a) 0.20 (b) 0.21 (c) 0.22 (d) 0.28 (e) 0.30
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