Based on the historical returns in Exhibit 19.2, calculate the expected return and standard deviation of return
Question:
Based on the historical returns in Exhibit 19.2, calculate the expected return and standard deviation of return in dollars to an equal-weighted portfolio of U.S., U.K., and Japanese stocks. Calculate the Sharpe index for this portfolio using the historical mean return on risk-free U.S. T-bills.
Transcribed Image Text:
EXHIBIT 19.2 Performance of National Stock Market Indices (2000-2014) in U.S. Dollars Sharpe Correlation coefficients Index (%) (%) index Beta CA CH GE IN JA UK US W Canada 11.0 28.1 0.34 1.11 China 18.0 42.1 0.39 1.18 0.72 Germany 9.1 31.1 0.24 1.47 0.76 0.65 India 7.5 30.8 0 20 129 0.70 0.67 0.64 Japan 3.5 20.0 0.10 0.70 0.60 0.51 0.56 0.56 UK 7.2 23.5 0.24 1.00 0.82 0.66 0.87 0.63 0.61 US 6.6 19.6 0.26 0.93 0.81 0.63 0.88 0.62 0.57 0.85 World 6.6 20.9 0.24 1.00 0.86 0.69 0.93 0.68 0.68 0.93 0.97 US T-bills 1.5 1.7 0.00 0.00 0.05 0.14 0.04 0.08 0.00 0.03 -0.05 0.00
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