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Unformatted text preview: s mainly invested in equity. The average and standard deviation of monthly excess returns of the Orange fund (RO) and returns on two factors A and B that are known to be a good benchmark for the Orange fund are as follows: Average Standard deviation RO ‐ RF 0.4 5.0 Factor A 0.3 4.0 Factor B 0.25 3.0 Evaluating the Orange fund, we have found that the factor loading on Factor A is 0.8 and Factor B is 0.5 in a two‐factor model regression. Also, the covariance of Factor A and B is zero. a) Calculate the Sharpe ratio of the Orange f...
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This note was uploaded on 02/08/2014 for the course COMM 374 taught by Professor Lazrak during the Spring '08 term at The University of British Columbia.

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