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The Victory Market Neutral Fund's excess returns over the past 12 months are seen below. What is this portfolio's Sharpe Ratio? Given the Fama-French considerations
The Victory Market Neutral Fund's excess returns over the past 12 months are seen below. What is this portfolio's Sharpe Ratio? Given the Fama-French considerations below, what is the annual alpha? (to be done on excel)
Rp-Rf | MKT-Rf | SMB | HML |
-0.0013 | -0.0011 | -0.0308 | -0.0627 |
0.0134 | -0.0813 | 0.0102 | -0.0392 |
-0.0241 | -0.1338 | -0.0503 | -0.1396 |
0.0285 | 0.1365 | 0.0275 | -0.0139 |
-0.0052 | 0.0558 | 0.0249 | -0.0505 |
0.0204 | 0.0246 | 0.0271 | -0.0235 |
-0.0042 | 0.0577 | -0.0218 | -0.0139 |
0.0091 | 0.0763 | -0.0025 | -0.0294 |
-0.0176 | -0.0363 | 0.0006 | -0.0251 |
0.0093 | -0.0210 | 0.0444 | 0.0403 |
0.0112 | 0.1247 | 0.0548 | 0.0211 |
0.0046 | 0.0463 | 0.0481 | -0.0136 |
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