Question
The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio: Long Horn Market Portfolio Average return 19
The following data are available relating to the performance of Long Horn Stock Fund and the market portfolio:
| Long Horn | Market Portfolio | ||||||||||
| Average return | 19 | % | 12 | % | |||||||
| Standard deviations of returns | 35 | % | 15 | % | |||||||
| Beta | 1.5 | 1.0 | |||||||||
| Residual standard deviation | 3.0 | % | 0.0 | % | |||||||
The risk-free return during the sample period was 6%. What is the Sharpe measure of performance evaluation for Long Horn Stock Fund?
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Linear Algebra And Its Applications
Authors: David Lay, Steven Lay, Judi McDonald
6th Global Edition
9781292351216
