Question
The expected rate of return on stock XYZ is 14%, while the expected return of the market portfolio is 11%. The risk-free rate is 5%.
The expected rate of return on stock XYZ is 14%, while the expected return of the market portfolio is 11%. The risk-free rate is 5%. The volatility of XYZ is 20%, and the volatility of the market portfolio is 10%.
a. What are the M2 measures for XYZ and the market portfolio?
b. Suppose the alpha for stock XYZ is 3%. What is the Treynor measure for stockXYZ?
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International Financial Reporting And Analysis
Authors: David Alexander, Ann Jorissen, Martin Hoogendoorn
8th Edition
978-1473766853, 1473766850
