The following table repeats the annual total returns on the MSCI Germany Index previously given and also

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The following table repeats the annual total returns on the MSCI Germany Index previously given and also gives the annual total returns on the JP Morgan Germany five- to seven-year government bond index (JPM 5-7 Year GBI, for short). During the period given in the table, the International Monetary Fund Germany Money Market Index (IMF Germany MMI, for short) had a mean annual total return of 4.33 percent.
JPM Germany 5-7 Year GBI (%) MSCI Germany Index (%) Year 15.74 46.21 1993 1994 -3.40 -6.18 8.04 1995 18.30 22.87 8.35 19

A. Using the IMF Germany MMI as a proxy for the risk-free return, calculate the Sharpe ratio for:
I. The 60/40 equity/bond portfolio described in Problem 12.
II. The MSCI Germany Index.
III. The JPM Germany 5-7 year GBI.
B. Contrast the risk-adjusted performance of the 60/40 equity/bond portfolio, the MSCI Germany Index, and the JPM Germany 5-7 Year GBI, as measured by the Sharpe ratio.

Portfolio
A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their fund counterparts, including mutual, exchange-traded and closed funds. A portfolio can also consist of non-publicly...
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Quantitative Investment Analysis

ISBN: 978-1119104223

3rd edition

Authors: Richard A. DeFusco, Dennis W. McLeavey, Jerald E. Pinto, David E. Runkle

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