The following table shows the annualized return of S&P total return index from 1999 to 2003:

Year Total Return (%)

1999 21.0

2000 -9.1

2001 -11.9

2002 -22.1

2003 28.7

(a) Calculate the geometric return from 1999 to 2003.

(b) Calculate the mean absolute deviation and the sample standard deviation of the index

return.

(c) Calculate the 45th-percentile of the index return.

(d) Sketch the drawdown curve. What is the maximum drawdown of the index return over this

period?

(e) Assume an annualized risk-free rate of 5%, what is the Sharpe ratio of the index return over

this period?