MATLAB: An Introduction with Applications
MATLAB: An Introduction with Applications
6th Edition
ISBN: 9781119256830
Author: Amos Gilat
Publisher: John Wiley & Sons Inc
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Problem 18-9 (Algo) Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A 1% + 1.2 (rm -rf) Stock A 1.0000 % 0.635 11.3% 22.6% Required: a. Calculate the following statistics for each stock: (Do not round intermediate calculations. Round your answers to 4 decimal places.) Stock B 2.0000 % Stock B 2% + 0.8( rm -rf) b. Which stock is the best choice under the following circumstances? 0.466 20.1% 26.9% i. This is the only risky asset to be held by the investor. ii. This stock will be mixed with the rest of the investor's portfolio, currently composed solely of holdings in the market-index fund. iii. This is one of many stocks that the investor is analyzing to form an actively managed stock portfolio.
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Transcribed Image Text:Problem 18-9 (Algo) Consider the two (excess return) index-model regression results for stocks A and B. The risk-free rate over the period was 7%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual standard deviation, o(e) Standard deviation of excess returns i. Alpha ii. Information ratio iii. Sharpe ratio iv. Treynor measure Stock A 1% + 1.2 (rm -rf) Stock A 1.0000 % 0.635 11.3% 22.6% Required: a. Calculate the following statistics for each stock: (Do not round intermediate calculations. Round your answers to 4 decimal places.) Stock B 2.0000 % Stock B 2% + 0.8( rm -rf) b. Which stock is the best choice under the following circumstances? 0.466 20.1% 26.9% i. This is the only risky asset to be held by the investor. ii. This stock will be mixed with the rest of the investor's portfolio, currently composed solely of holdings in the market-index fund. iii. This is one of many stocks that the investor is analyzing to form an actively managed stock portfolio.
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