The Mean and Standard Deviation (SD) of Monthly Returns, Over

question 90

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 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:

• 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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Definitions:

Exponentially Distributed

Pertaining to a statistical distribution characterized by a constant rate of decay or growth over time.

Random Variable

A variable whose outcomes are determined by the occurrences of a random event.

Exponential Random Variable

A type of random variable that describes the time between events in a Poisson process, representing occurrences that happen at a constant rate.

Exponentially Distributed

Describes the time between events in a Poisson point process, i.e., a process in which events occur continuously and independently at a constant average rate.