Calculate the same subperiod means and standard deviations for small stocks as Table 5.4 of the text provides for large stocks

a. Have small stocks provided better reward-to-volatility (Sharpe) ratios than large stocks?

TABLE 5.3 Statistics for asset-class index portfolios, 19262013 (annual rates in U.S. dollars, %) World Markets U.S. Markets Small Stocks Large Stocks U.S. Long-Term Treasurles 11.82 -54.27 (1937) 159.05 (1933) 9.88 -45.56 (1931) 54.56 (1933) 5.07 -13.82 (2009) 32.68 (1985) 37.29 -48.33 20.52 -31.96 8.01 - 11.51 -024 Large Government Stocks Bonds A. Total Returns (%) Geometric average 8.24 5.37 Lowest return -39.94 (1931) - 13.50 (1946) Highest return 70.81 (1933) 34.12 (1985) B. Risk (Measured Using Excess Returns) Standard deviation 18.89 8.44 Value at risk (VaR) 5% -25.88 -10.67 C. Deviation from Normality VaR assuming normality -22.54 - 10.43 Actual VaR minus normal -3.34 Skew -0.09 Kurtosis 1.08 D. Returns In Excess of One-Month T-Bill Rates Average excess return 6.32 2.16 Standard error 201 0.90 E. Sharpe Ratios for 1926-2013 and Three Subperiods Entire period 0.33 1926-1955 0.43 1956-1985 0.19 1986-2013 0.35 F. Correlations of Excess Returns With inflation -0.13 -0.27 With T-bill rates -0.25 -0.16 - 36.96 -11.37 0.83 1.97 -23.51 8.46 -0.31 -0.05 - 10.23 -1.28 0.39 0.53 13.94 3.97 8.34 1.83 0.85 2.19 0.23 0.41 0.46 0.28 0.48 059 -0.11 0.52 0.37 0.41 -0.06 -0.02 -0.22 -0.17 -0.17 -0.12 TABLE 5.4 Excess return statistics for the S&P 500 Average 5% VaR 1926-2013 1926-1955 1956-1985 1986-2013 8.34 11.67 5.01 8.33 Excess Return (%) Std Dev Sharpe Ratio 20.23 0.41 25.40 0.46 17.58 0.28 17.73 0.47 -25.88 NA NA NA