HW#2_Depaul_FIN_202

HW#2_Depaul_FIN_202 - Strategy Mean Return Standard...

Info iconThis preview shows pages 1–5. Sign up to view the full content.

View Full Document Right Arrow Icon
Mean Monthly Return 0.56% Standard Deviation 8.86% Lower Limit -8.30% Upper Limit 9.42% The one standard deviation confidence interval runs from -8.30% to 9.42%. Approximately 68 percent of monthly returns will fall in this interval. 95 percent confidence interval 1.96 Lower Limit 16.81% Upper Limit 17.93%
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
z 0.36 Area under the curve 64.04% 64.04% of observations on a standard normal random variable are smaller than or equal to the value 0.36
Background image of page 2
January 1994 to December 1996 Strategy Mean Return Standard Deviation Sharpe Ratio Large-cap growth 1.15% 2.89% 0.26 Large-cap value 1.08% 2.20% 0.31 Large cap blend 1.07% 2.38% 0.28 90% Confidence interval Lower Limit -2.857% Upper Limit 4.997%
Background image of page 3

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
January 1994 to December 1996
Background image of page 4
Background image of page 5
This is the end of the preview. Sign up to access the rest of the document.

Unformatted text preview: Strategy Mean Return Standard Deviation Sharpe Ratio Large-cap growth 1.15% 2.89% 0.26 Large-cap value 1.08% 2.20% 0.31 Large cap blend 1.07% 2.38% 0.28 Large-cap growth will earn a monthly return of 0% or less 0.35 January 1994 to December 1996 Strategy Mean Return Standard Deviation Sharpe Ratio Large-cap growth 1.15% 2.89% 0.26 Large-cap value 1.08% 2.20% 0.31 Large cap blend 1.07% 2.38% 0.28 The large-cap value fund category minimized the probability of earning a return less than the risk-free rate of return for the period. Large-cap value funds achieved the highest Sharpe ratio during the period....
View Full Document

This homework help was uploaded on 04/20/2008 for the course FIN 202 taught by Professor William,white during the Spring '08 term at DePaul.

Page1 / 5

HW#2_Depaul_FIN_202 - Strategy Mean Return Standard...

This preview shows document pages 1 - 5. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online