The Mean and Standard Deviation (SD)of Monthly Returns,over a Given

question 27

Multiple Choice

The mean and standard deviation (SD) of monthly returns,over a given period of time,for the stock markets of two countries,X and Y are: $$\begin{array} { c c c } \text { Country } & \begin{array} { l } \text { Mean } \\( \% ) \end{array} & \begin{array} { c } \text { SD } \\( \% ) \end{array} \\\hline \text { X } & 1.57 & 4.87 \\\text { Y } & 1.92 & 7.64\end{array}$$ Assuming that the monthly risk-free interest rate is 0.25%,the Sharpe performance measures,SHP(X) and SHP(Y) ,and the performance ranks,respectively,for X and Y are: (Don't round intermediate calculations and Round your final answers to 3 decimal places.)

• A) SHP(X) = 0.271, rank = 1, and SHP(Y) = 0.219, rank = 2
• B) SHP(X) = 0.271, rank = 2, and SHP(Y) = 0.219, rank = 1
• C) SHP(X) = 18.84, rank = 1, and SHP(Y) = 23.04, rank = 2
• D) SHP(X) = 23.04, rank = 2, and SHP(Y) = 18.84, rank = 1

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