As reported by Liang (1999), US equity funds in three style categories had the following mean monthly

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As reported by Liang (1999), US equity funds in three style categories had the following mean monthly returns, standard deviations of return, and Sharpe ratios during the period January 1994 to December 1996:

January 1994 to December 1996 Standard Deviation (%) 2.89 Mean Return (%) Sharpe Ratio Strategy Large-cap growth Large-c

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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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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Question Posted: Mar 21, 2018 05:50 AM

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As reported by Liang (1999), US equity funds in three style categories had the following mean monthly

Question:

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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The largecap value fund category minimized the probability of ...View the full answer

Quantitative Investment Analysis

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