Given: Mean Excess Return: 7.4% Standard deviation of Annual Return: 15.7% Portfolio Beta: 1.2 The coefficient of variation and Sharpe measure, respectively for the portafolio are: A)0.82__0.39 B)0.82__0.47 C)1.32__1.23 D)1.23__0.47
dont we need the risk free rate to solve for this?? am i missing something
not the sharpe ratio, but the CV
CV 15.7/7.4? WTF?
The sharpe is .47… Now to solve for the CV is a bit tricky me thinks.
Ans B) the sharpe ratio is 0.47 se we eliminate A and C. Next if 1.23 is the implied rate then the expected return is 19.31, which in turn implies a risk free rate of 19.31- 1.2*7.4= 10.43% where as 0.82 implies a risk free rate of 4% which is realistic. Therefore B)
how did you get that?
The answer is D… Sharpe ratio: 7.4%/15.7% But the CV?
I’m getting 1.06 for the CV… Anyone getting the right answer? I was able to solve for the mean as .14779
edited for double post
The answer I have gives: CV=standard deviation/mean= 15.7%/12.8% where this 12.8% come from? WTF!??!
At 1.23, the mean is implied to be 12… Ok I’m confused
meazza Wrote: ------------------------------------------------------- > At 1.23, the mean is implied to be 12… > > Ok I’m confused Meazza? Your nick is the name of a very famous football stadium in Milan
strangedays Wrote: ------------------------------------------------------- > meazza Wrote: > -------------------------------------------------- > ----- > > At 1.23, the mean is implied to be 12… > > > > Ok I’m confused > > > Meazza? Your nick is the name of a very famous > football stadium in Milan Yes I Know, Giuseppe Meazza was the MVP for 2 WC’s in the 30’s! And I don’t think he would be able to answer that question either!
Ok I got it close. 13.08 - 5.68/ 15.7 = .471 CV = 15.7/13.8 = 1.137
meazza Wrote: ------------------------------------------------------- > strangedays Wrote: > -------------------------------------------------- > ----- > > meazza Wrote: > > > -------------------------------------------------- > > > ----- > > > At 1.23, the mean is implied to be 12… > > > > > > Ok I’m confused > > > > > > Meazza? Your nick is the name of a very famous > > football stadium in Milan > > > Yes I Know, Giuseppe Meazza was the MVP for 2 WC’s > in the 30’s! And I don’t think he would be able > to answer that question either! Are you italian? 
strangedays Wrote: ------------------------------------------------------- > meazza Wrote: > -------------------------------------------------- > ----- > > strangedays Wrote: > > > -------------------------------------------------- > > > ----- > > > meazza Wrote: > > > > > > -------------------------------------------------- > > > > > > ----- > > > > At 1.23, the mean is implied to be 12… > > > > > > > > Ok I’m confused > > > > > > > > > Meazza? Your nick is the name of a very > famous > > > football stadium in Milan > > > > > > Yes I Know, Giuseppe Meazza was the MVP for 2 > WC’s > > in the 30’s! And I don’t think he would be > able > > to answer that question either! > > > Are you italian? Yes 
but born and raised in MTL.
meazza Wrote: ------------------------------------------------------- > strangedays Wrote: > -------------------------------------------------- > ----- > > meazza Wrote: > > > -------------------------------------------------- > > > ----- > > > strangedays Wrote: > > > > > > -------------------------------------------------- > > > > > > ----- > > > > meazza Wrote: > > > > > > > > > > -------------------------------------------------- > > > > > > > > > > ----- > > > > > At 1.23, the mean is implied to be 12… > > > > > > > > > > Ok I’m confused > > > > > > > > > > > > Meazza? Your nick is the name of a very > > famous > > > > football stadium in Milan > > > > > > > > > Yes I Know, Giuseppe Meazza was the MVP for 2 > > WC’s > > > in the 30’s! And I don’t think he would be > > able > > > to answer that question either! > > > > > > Are you italian? > > Yes but born and raised in MTL. Nice I am italian too
I think a part of the question is missing, there’s no way you can solve it otherwise. The question needs to tell you the mean annual return. Strandays posted the question wrong
strangedays Wrote: ------------------------------------------------------- > The answer I have gives: > > CV=standard deviation/mean= 15.7%/12.8% > > where this 12.8% come from? WTF!!! 12.8% would be the mean annual return originally given in the question, the part that wasn’t pasted.