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Ch15_SSol

# Ch15_SSol - Problem 15.3 Sharpe and Treynor performance...

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Problem 15.3 Sharpe and Treynor performance measures Mean Risk-Free Standard Country Return Rate Deviation Beta Sharpe Treynor Market ( R ) ( Rf ) ( σ ) ( β ) Measure Measure Estonia 1.12% 0.42% 16.00% 1.65 0.044 0.004 Latvia 0.75% 0.42% 22.80% 1.53 0.014 0.002 Lithuania 1.60% 0.42% 13.50% 1.20 0.087 0.010 The Sharpe Measure calculates the average return over and above the risk-free rate of return per unit of portfolio risk: SHP = ( R - Rf ) / σ TRN = ( R - Rf ) / β Assume the U.S. dollar returns (monthly averages) shown below for three Baltic republics. Calculate the Sharpe and Treynor measures of market performance. The Treynor Measure calculates the average return over and above the risk-free rate of return per unit of risk as measured by the portfolio's beta, the systematic risk of the portfolio:

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Problem 15.6 Eastbridge Technology: US dollar-based investors (A) 6/30/2000 6/30/2001 6/30/2002 6/30/2003 Share price (₤) 37.40 42.88 40.15 44.60 Dividend (₤) 1.50 1.60 1.70 1.80 Spot rate (\$/₤) 1.4650 1.4260 1.4896 1.5546 What is the average return, including dividend distributions, to a US dollar-based investor for the period shown?
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