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The below returns data contains the annual returns for 4 major asset classes, equities (SP500), US treasury bonds, corporate bonds and real estate. Working with
The below returns data contains the annual returns for 4 major asset classes, equities (SP500), US treasury bonds, corporate bonds and real estate. Working with this data answer the following question:
Assume a 8% inflation level this year. Conditional on this scenario, what asset class has the highest sharpe ratio?
| Year | S&P 500 | US T. Bond | Corporate Bond | Real Estate | Inflation Rate |
| 1928 | 43.81115515 | 0.835470859 | 3.21955147 | 1.491053678 | -1.15607 |
| 1929 | -8.297946612 | 4.203804156 | 3.01785624 | -2.056807052 | 0.5848 |
| 1930 | -25.12363636 | 4.540931435 | 0.539780946 | -4.3 | -6.39535 |
| 1931 | -43.83754889 | -2.558855962 | -15.68077508 | -8.150470219 | -9.31677 |
| 1932 | -8.642364532 | 8.79030699 | 23.58960168 | -10.46643914 | -10.27397 |
| 1933 | 49.98222543 | 1.855272089 | 12.9668937 | -3.811944091 | 0.76336 |
| 1934 | -1.188565697 | 7.963442618 | 18.81642927 | 2.906208719 | 1.51515 |
| 1935 | 46.74042105 | 4.47204773 | 13.30773187 | 9.765833726 | 2.98507 |
| 1936 | 31.94341028 | 5.017875405 | 11.38381587 | 3.218601455 | 1.44928 |
| 1937 | -35.33672875 | 1.37914606 | -4.416191684 | 2.563391222 | 2.85714 |
| 1938 | 29.28265403 | 4.213248532 | 9.235881714 | -0.873681363 | -2.77778 |
| 1939 | -1.097564688 | 4.412261394 | 7.983137765 | -1.301607226 | 0 |
| 1940 | -10.67287319 | 5.402481596 | 8.648137178 | 3.306607686 | 0.71429 |
| 1941 | -12.77145558 | -2.022197585 | 5.007172857 | -8.384627736 | 9.92908 |
| 1942 | 19.17376295 | 2.294868237 | 5.179901043 | 3.333041218 | 9.03226 |
| 1943 | 25.06131013 | 2.49 | 8.04467006 | 11.44625996 | 2.95858 |
| 1944 | 19.03067695 | 2.577611158 | 6.565863588 | 16.58422748 | 2.29885 |
| 1945 | 35.82108434 | 3.804417342 | 6.799865478 | 11.77737647 | 2.24719 |
| 1946 | -8.429147465 | 3.128374538 | 2.508032977 | 24.10168568 | 18.13187 |
| 1947 | 5.2 | 0.919696806 | 0.262120227 | 21.26388105 | 8.83721 |
| 1948 | 5.704575163 | 1.951036941 | 3.436959561 | 2.058515386 | 2.99145 |
| 1949 | 18.30322368 | 4.663485183 | 5.377301118 | 0.089348516 | -2.07469 |
| 1950 | 30.80553901 | 0.429595742 | 4.238817306 | 3.640392529 | 5.9322 |
| 1951 | 23.67846304 | -0.295313922 | -0.190980913 | 6.047648137 | 6 |
| 1952 | 18.15098864 | 2.267996192 | 4.441241505 | 4.406682028 | 0.75472 |
| 1953 | -1.208204742 | 4.143840259 | 1.620112382 | 11.51656854 | 0.74906 |
| 1954 | 52.56332124 | 3.289803456 | 6.157905182 | 0.92272203 | -0.74349 |
| 1955 | 32.59733185 | -1.336439129 | 2.044690004 | 0 | 0.37453 |
| 1956 | 7.439511873 | -2.255773817 | -2.352654198 | 0.914285714 | 2.98507 |
| 1957 | -10.45736019 | 6.797012847 | -0.71892844 | 2.718006795 | 2.89855 |
| 1958 | 43.71995499 | -2.099018176 | 6.430092897 | 0.661521499 | 1.76056 |
| 1959 | 12.05645716 | -2.646631259 | 1.57434309 | 0.109529025 | 1.7301 |
| 1960 | 0.336535315 | 11.63950369 | 6.663187163 | 0.765864333 | 1.36054 |
| 1961 | 26.63771296 | 2.060920808 | 5.1 | 0.977198697 | 0.67114 |
| 1962 | -8.811460517 | 5.693544054 | 6.495327994 | 0.322580645 | 1.33333 |
| 1963 | 22.6119271 | 1.684162074 | 5.464480571 | 2.143622722 | 1.64474 |
| 1964 | 16.41545588 | 3.728064891 | 5.161739272 | 1.259181532 | 0.97087 |
| 1965 | 12.39924248 | 0.718855094 | 3.190009462 | 1.658031088 | 1.92308 |
| 1966 | -9.970954236 | 2.907940932 | -3.445361598 | 1.22324159 | 3.45912 |
| 1967 | 23.80296651 | -1.580620993 | 0.895226615 | 2.316213494 | 3.03951 |
| 1968 | 10.81486265 | 3.274619695 | 4.845146224 | 4.133858268 | 4.71976 |
| 1969 | -8.241371076 | -5.014049321 | -2.025164251 | 6.994328922 | 6.19718 |
| 1970 | 3.561144905 | 16.75473718 | 5.649567657 | 8.215547703 | 5.57029 |
| 1971 | 14.2211503 | 9.78689662 | 14.00146617 | 4.244897959 | 3.26633 |
| 1972 | 18.75536292 | 2.81844905 | 11.40909358 | 2.975724354 | 3.40633 |
| 1973 | -14.30804744 | 3.658664602 | 4.318040485 | 3.422053232 | 8.70588 |
| 1974 | -25.90178575 | 1.988608693 | -4.380719798 | 10.07352941 | 12.33766 |
| 1975 | 36.99513711 | 3.605253603 | 11.04996407 | 6.773709375 | 6.93642 |
| 1976 | 23.830999 | 15.98456074 | 19.75281399 | 8.177834857 | 4.86486 |
| 1977 | -6.979704076 | 1.289960607 | 9.954662852 | 14.6548413 | 6.70103 |
| 1978 | 6.509283912 | -0.777580691 | 3.137584977 | 15.72359605 | 9.01771 |
| 1979 | 18.51949017 | 0.670720312 | -2.009110144 | 13.74246691 | 13.29394 |
| 1980 | 31.73524551 | -2.989744252 | -3.315678337 | 7.396867264 | 12.5163 |
| 1981 | -4.702390247 | 8.199215336 | 8.462399481 | 5.095006248 | 8.92236 |
| 1982 | 20.41905508 | 32.81454949 | 29.05245566 | 0.563720968 | 3.82979 |
| 1983 | 22.33715586 | 3.200209445 | 16.19428962 | 4.749480207 | 3.79098 |
| 1984 | 6.146142 | 13.73336434 | 15.61920733 | 4.678134973 | 3.94867 |
| 1985 | 31.23514949 | 25.71248821 | 23.86264185 | 7.471371208 | 3.79867 |
| 1986 | 18.49457876 | 24.28421514 | 21.48551531 | 9.61235751 | 1.0979 |
| 1987 | 5.812721642 | -4.960508938 | 2.289846084 | 7.876215124 | 4.43439 |
| 1988 | 16.53719281 | 8.223595843 | 15.11507007 | 7.210462412 | 4.41941 |
| 1989 | 31.47518364 | 17.69364716 | 15.78966653 | 4.381344831 | 4.6473 |
| 1990 | -3.064451613 | 6.235375334 | 6.140062886 | -0.691512307 | 6.10626 |
| 1991 | 30.23484313 | 15.00451002 | 17.85348715 | -0.157957088 | 3.06428 |
| 1992 | 7.493727972 | 9.361637316 | 12.17225587 | 0.817402769 | 2.90065 |
| 1993 | 9.967051479 | 14.21095759 | 16.43151722 | 2.157708905 | 2.74841 |
| 1994 | 1.325920677 | -8.036655551 | -1.319203348 | 2.508960573 | 2.6749 |
| 1995 | 37.1951989 | 23.48078011 | 20.15621817 | 1.798201798 | 2.53841 |
| 1996 | 22.68096602 | 1.428607793 | 4.792599419 | 2.416584887 | 3.32248 |
| 1997 | 33.1036531 | 9.939130273 | 11.83488724 | 4.024434064 | 1.7024 |
| 1998 | 28.33795328 | 14.92143192 | 7.945456133 | 6.447898676 | 1.6119 |
| 1999 | 20.88535099 | -8.254214796 | 0.843163475 | 7.679826933 | 2.68456 |
| 2000 | -9.031818955 | 16.65526713 | 9.329685521 | 9.281767956 | 3.38681 |
| 2001 | -11.84975914 | 5.572181189 | 7.819150754 | 6.673407482 | 1.55172 |
| 2002 | -21.96604796 | 15.11640038 | 12.17786769 | 9.56484274 | 2.37691 |
| 2003 | 28.35580005 | 0.375318588 | 13.5320121 | 9.815178923 | 1.87949 |
| 2004 | 10.74277594 | 4.490683702 | 9.888628409 | 13.6360381 | 3.25556 |
| 2005 | 4.834477523 | 2.86753296 | 4.917537987 | 13.51232117 | 3.41566 |
| 2006 | 15.61255798 | 1.961001242 | 7.048397663 | 1.732274721 | 2.54065 |
| 2007 | 5.484735246 | 10.20992193 | 3.150386153 | -5.397587731 | 4.08127 |
| 2008 | -36.55234411 | 20.10127993 | -5.065714629 | -11.99953848 | 0.09141 |
| 2009 | 25.93523388 | -11.11669531 | 23.32950249 | -3.848170972 | 2.72133 |
| 2010 | 14.82109228 | 8.46293388 | 8.347842366 | -4.118088225 | 1.49572 |
| 2011 | 2.098374734 | 16.035335 | 12.5845144 | -3.882528621 | 2.96242 |
| 2012 | 15.89058524 | 2.971571978 | 10.12467788 | 6.436339424 | 1.74102 |
| 2013 | 32.14508586 | -9.104568794 | -1.055901207 | 10.71800931 | 1.50174 |
| 2014 | 13.52442165 | 10.74618045 | 10.38490782 | 4.513779898 | 0.75649 |
| 2015 | 1.378891641 | 1.284299671 | -0.697518368 | 5.207832773 | 0.72952 |
| 2016 | 11.77308087 | 0.69055047 | 10.36510582 | 5.309734513 | 2.07462 |
| 2017 | 21.60548143 | 2.801716271 | 9.723901946 | 6.213065872 | 2.10908 |
| 2018 | -4.226869289 | -0.016692386 | -2.762628222 | 4.532693584 | 1.91016 |
| 2019 | 31.21168 | 9.635630742 | 15.32945756 | 3.691586503 | 2.28513 |
| 2020 | 18.02320183 | 11.33189765 | 10.41153716 | 10.34612668 | 1.36201 |
| 2021 | 28.46885175 | -4.416034449 | 0.933444572 | 16.83168317 | 7 |
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Counting With Symmetric Functions
Authors: Jeffrey Remmel, Anthony Mendes
1st Edition
3319236180, 9783319236186
