A small stock that you are following has an alpha = 7% and a standard deviation of
Fantastic news! We've Found the answer you've been seeking!
Question:
A small stock that you are following has an alpha = 7% and a standard deviation of its regression residuals of 20.75%. The Sharpe ratio of the market index portfolio M is 0.36. According to the Treynor-Black Model, by how much could this active investor improve his/her Sharpe ratio relative to investing only in the passive market index portfolio M?
Related Book For
Essentials of Business Statistics
ISBN: 978-0078020537
5th edition
Authors: Bruce Bowerman, Richard Connell, Emily Murphree, Burdeane Or
Posted Date: