Question B2 ( 15 marks) Consider the two (excess return) index model regression results for Stock A and B. The risk-free rate over the period was 4%, and the market's average return was 15%. Performance is measured using an index model +regression on excess returns. Stock A Stock B Model 1% +1.8(Rm - 2.5% + Index Regression rf) 1.1 (RM-Rf) Estimates R-Square 0.586 0.476 Residual standard 12.3% 17.5% deviation Standard deviation 20.5% 25.9% of excess return 0 (a) Calculate the following statistics for each stock (12 marks) 1. Alpha 2. Information ratio 3. Sharp ratio 4. Treynor measure (b) There is one of many stocks that the investor is analyzing to form an actively managed stock portfolio, please advise which of the statistics from (a) is the best choice and justify the reason. (3 marks) Question B2 ( 15 marks) Consider the two (excess return) index model regression results for Stock A and B. The risk-free rate over the period was 4%, and the market's average return was 15%. Performance is measured using an index model +regression on excess returns. Stock A Stock B Model 1% +1.8(Rm - 2.5% + Index Regression rf) 1.1 (RM-Rf) Estimates R-Square 0.586 0.476 Residual standard 12.3% 17.5% deviation Standard deviation 20.5% 25.9% of excess return 0 (a) Calculate the following statistics for each stock (12 marks) 1. Alpha 2. Information ratio 3. Sharp ratio 4. Treynor measure (b) There is one of many stocks that the investor is analyzing to form an actively managed stock portfolio, please advise which of the statistics from (a) is the best choice and justify the reason