Question
Form an equally weighted portfolio of large and small stocks and compute the Reward-to-Risk Ratio (the slope of the Security Market Line). Annual returns in
Form an equally weighted portfolio of large and small stocks and compute the Reward-to-Risk Ratio (the slope of the Security Market Line).
Annual returns in percent: | ||||
Year | Large Company Stocks | Small Company Stocks | S&P500 Index | Treasury Bills |
1994 | 1.32 | -3.34 | -2.32 | 4.39 |
1995 | 37.58 | 33.21 | 13.73 | 5.61 |
1996 | 22.96 | 16.50 | 46.94 | 5.14 |
1997 | 33.36 | 22.36 | 24.69 | 5.19 |
1998 | 28.58 | -2.55 | 30.54 | 4.86 |
1999 | 21.04 | 21.26 | 8.97 | 4.80 |
2000 | -9.10 | -3.02 | -2.04 | 5.98 |
2001 | -11.89 | -1.03 | -17.26 | 3.33 |
2002 | -22.10 | -21.58 | -24.29 | 1.61 |
2003 | 28.89 | 47.25 | 32.19 | 0.94 |
2004 | 10.88 | 18.33 | 4.43 | 1.14 |
2005 | 4.91 | 4.55 | 8.36 | 2.79 |
2006 | 15.79 | 18.29 | 12.36 | 4.97 |
2007 | 5.49 | 7.42 | -4.15 | 4.52 |
2008 | -37.00 | -40.54 | -38.47 | 1.24 |
2009 | 26.46 | 43.89 | 23.49 | 0.15 |
2010 | 15.06 | 16.91 | 12.64 | 0.14 |
2011 | 5.53 | -1.80 | 0.00 | 0.03 |
2012 | 7.26 | 15.91 | 13.29 | 0.05 |
2013 | 26.50 | 38.32 | 29.60 | 0.07 |
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