|
|
1991 |
1992 |
1993 |
1994 |
1995 |
1996 |
1997 |
1998 |
1999 |
2000 |
|
|
Annual return |
11.0% |
12.5% |
8.0% |
9.0% |
13.0% |
7.0% |
15.0% |
2.0% |
-16.5% |
11.0% |
Mean = 7.2 |
|
X − mean |
3.8 |
5.3 |
0.8 |
1.8 |
5.8 |
-0.2 |
7.8 |
-5.2 |
-23.7 |
3.8 |
|
|
(X − mean)2 |
14.44 |
28.09 |
0.64 |
3.24 |
33.64 |
0.04 |
60.84 |
27.04 |
561.69 |
14.44 |
Sum = 744.10 |
Variance = (X − mean)2 / (n − 1) = 744.10 / 9 = 82.68
Standard deviation = (82.68)1/2 = 9.1
Sharpe Ratio = (mean return – risk-free rate) / standard deviation = (7.2 – 4) / 9.1 = 0.35
