Based on the historical returns in Exhibit 19.2, calculate the mean and standard deviation of return in
Question:
Based on the historical returns in Exhibit 19.2, calculate the mean and standard deviation of return in dollars for an equal-weighted portfolio of German and U.K. stocks. Calculate the Sharpe index for this portfolio using the historical mean return on U.S. T-bills as the risk-free rate.
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EXHIBIT 19.2 Performance of National Stock Market Indices (2000-2014) in U.S. Dollars G 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 Germany 9.1 31.1 0.39 1.18 0.72 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 US World US T-bills 7.2 23.5 6.6 19.6 6.6 20.9 1.5 1.7 0.24 0.26 0.24 0.00 1.00 0.82 0.66 0.87 0.63 0.61 0.93 0.81 0.63 0.88 0.62 0.57 0.85 1.00 0.86 0.69 0.93 0.68 0.68 0.93 0.00 0.05 0.14 0.04 0.08 0.00 0.03 -0.05 0.00. 0.97
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