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The following data are available relating to the performance of Sooner Stock Fund and the market portfolio: Sooner Market Portfolio Average return 20 % 11
The following data are available relating to the performance of Sooner Stock Fund and the market portfolio:
Sooner | Market Portfolio | ||||||||||
Average return | 20 | % | 11 | % | |||||||
Standard deviations of returns | 44 | % | 19 | % | |||||||
Beta | 1.8 | 1.0 | |||||||||
Residual standard deviation | 2.0 | % | 0.0 | % | |||||||
The risk-free return during the sample period was 3%. What is the Sharpe measure of performance evaluation for Sooner Stock Fund?
0.3714
0.0133
0.386
0.0867
0.04
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