Question
University of Chicago, Homework 7, Question 2: Portfolio 1 Portfolio Sharpe ratio of .25005 Consists of two securities: X and Y Security X is an
University of Chicago, Homework 7, Question 2:
Portfolio 1
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Portfolio Sharpe ratio of .25005
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Consists of two securities: X and Y
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Security X is an ETF compromising 25 stocks
Portfolio 2
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Portfolio Sharpe ratio of .3909
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Market value weighted index portfolio consisting of only 5 stocks
Explain the reasoning behind the greater Sharpe ratio using your index, relative to the Sharpe ratio using the ETF. Why is the index ratio so much higher? Please explain in detail and give a few concepts learned from class.
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The Everything Improve Your Credit Book
Authors: Justin Pritchard
1st Edition
1598691554, 978-1598691559
