Calculate the Sharpe measure for Portfolio X and S&P 500.

A)0.222% and 0.462%

B)0.00334% and 0.05678%

B)0.345% and 0.4789%

C)0.0222% and 0.0462%

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An analyst wants to evaluate Portfolio X, consisting entirely of U.S. common stocks, using both the Treynor and Sharpe measures of portfolio performance. The following table provides the average annual rate of return for Portfolio X, the market portfolio (as measured by the Standard and Poor's 500 Index), and U.S. Treasury bills (T-bills) during the past eight years. Portfolio X S&P 500 T-bills n/a = not applicable Annual Average Rate of Return 10% 12 6 Standard Deviation of Return 18% 13 n/a Beta 0.60 1.00 n/a An analyst wants to evaluate Portfolio X, consisting entirely of U.S. common stocks, using both the Treynor and Sharpe measures of portfolio performance. The following table provides the average annual rate of return for Portfolio X, the market portfolio (as measured by the Standard and Poor's 500 Index), and U.S. Treasury bills (T-bills) during the past eight years. Portfolio X S&P 500 T-bills n/a = not applicable Annual Average Rate of Return 10% 12 6 Standard Deviation of Return 18% 13 n/a Beta 0.60 1.00 n/a

Answer rating: 100% (QA)

Solution The answer is a 0222 and 0462 The calculation of the ... View the full answer