Question
Table below shows the historical returns for Companies A, B and C Year Company A Company B Company C 1 30% 26% 47% 2 7%
Table below shows the historical returns for Companies A, B and C
Year | Company A | Company B | Company C |
1 | 30% | 26% | 47% |
2 | 7% | 15% | -54% |
3 | 18% | -14% | 15% |
4 | -22% | -15% | 7% |
5 | -14% | 2% | -28% |
6 | 10% | -18% | 40% |
7 | 26% | 42% | 17% |
8 | -10% | 30% | -23% |
9 | -3% | -32% | -4% |
10 | 38% | 28% | 75% |
11 | 27.0% | 23.4% | 42.3% |
12 | 6.3% | 13.5% | -48.6% |
13 | 16.2% | -12.6% | 13.5% |
14 | -19.8% | -13.5% | 6.3% |
15 | -12.6% | 1.8% | -25.2% |
16 | 9.0% | -16.2% | 36.0% |
17 | 23.4% | 37.8% | 15.3% |
18 | -9.0% | 27.0% | -20.7% |
19 | -2.7% | -28.8% | -3.6% |
20 | 34.2% | 25.2% | 67.5% |
1. If one investor has a portfolio consisting of 70% Company A and 30% Company B, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk- free rate is 3.5%?
2.If another investor has a portfolio consisting of 1/3 Company A, 1/3 Company B and 1/3 Company C, what are the average portfolio return and standard deviation? What is Sharpe ratio if the risk-free rate is 3.5%?
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