Year <?xml:namespace prefix = o ns = \"urn:schemas-microsoft-com:office:office\"
ID: 2691972 • Letter: Y
Question
Year <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /?>
GoopGip Stock
LoopLip Stock
S&P 500
2007
-12.8%
4.85%
-1.87%
2008
-4.5%
-8.25%
2.39%
2009
5.9%
3.33%
0.45%
2010
1.9%
7.21%
3.56%
2011
-4.8%
-1.55%
-1.38%
The Z-statistic at the 90% confidence level is 1.2816
The Z-statistic at the 95% confidence level is 1.6449
The Z-statistic at the 99% confidence level is 2.3263
1. What are the Sharpe Index of LoopLip stock and Treynor index for GoopGip stock? Assume that T-bill rate is 0.05%
Year <?xml:namespace prefix = o ns = "urn:schemas-microsoft-com:office:office" /?>
GoopGip Stock
LoopLip Stock
S&P 500
2007
-12.8%
4.85%
-1.87%
2008
-4.5%
-8.25%
2.39%
2009
5.9%
3.33%
0.45%
2010
1.9%
7.21%
3.56%
2011
-4.8%
-1.55%
-1.38%
Explanation / Answer
Looplip Mean = 1.12% standard deviation = 0.3016217600% Sharpe Index = 1.12 - 0.05%/0.3016217600% = 3.55 Goopgip Mean = -2.86% standard deviation = 0.49093% Sharpe Index = -5.93
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