As reported by Liang (1999), US equity funds in three style categories had the following mean monthly
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Assuming fund returns are normally distributed, which fund category minimized the probability of earning less than the risk-free rate for the period January 1994 to December 1996?
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January 1994 to December 1996 Standard Deviation (%) 2.89 Mean Return (%) Sharpe Ratio Strategy Large-cap growth Large-cap value Large-cap blend 0.26 1.15 1.08 2.20 0.31 2.38 0.28 1.07
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Related Book For
Quantitative Investment Analysis
ISBN: 978-1119104223
3rd edition
Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle
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