Using Table 5.3 as your guide, what is your estimate of the expected annual HPR on the S&P 500 stock portfolio if the current risk-free interest rate is 5.1%? (Round your answer to 2 decimal places.)

Expected annual HPR % =

TABLE 5.3 Statistics for asset-class index portfolios, 1926-2013 (annual rates in U.S. dollars, %) World Markets U.S. Markets Large Stocks Government Bonds Small Stocks Large Stocks U.S. Long-Term Treasuries A. Total Returns 11.82 Geometric average (%) Lowest return Highest return 5.37 9.88 5.07 -39.94 (1931)-13.50 (1946)-54.27 (1937) -45.56 (1931)-13.82 (2009) 70.81 (1933) 34.12 (1985) 159.05 (1933) 5456 (1933 32.68 (1985) 8.24 B. Risk (Measured Using Excess Returns) 37.29 -48.33 20.52 31.96 Standard deviation 18.89 8.01 Value at risk (VaR) 5% -25.88 -10.67 C. Deviation from Normality -22.54 -3.34 -0.09 1.08 D. Returns in Excess of one-Month T-Bill Rates 6.32 2.01 -10.43 -0.24 0.68 1.39 -10.23 - 1.28 0.39 0.53 VaR assuming normality Actual VaR minus normal -36.96 -11.37 0.83 -23.51 -8.46 -0.31 ew Kurtosis 13.94 3.97 Average excess return 8.34 Standard error 0.90 0.85 E. Sharpe Ratios for 1926-2013 and Three Subperiods Entire period 1926-1955 1956-1985 1986-2013 0.23 0.59 0.26 0.22 0.05 0.52 0.37 0.40 0.38 0.37 0.33 0.46 0.28 0.48 0.43 0.35 0.41 F. Correlations of Excess Returns -0.02 0.22 -0.13 -0.06 With inflation With T-bill rates -0.25 -0.16 -0.12