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Consider the two (excess return) Index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the market's average return was 11%. Performance is measured using an Index model regression on excess returns. Index model regression estimates R-aquare Residual standard deviation, die) Standard deviation of excess returne Book 10 + 1.24 - re) 0.683 12.14 23.46 took 24 + 0.8( re) 0.49 20.98 28.5* a. Calculate the following statistics for each stock (use whole percent values, 1%, not 0.01 for example, for your calculations): (Round your answers to 4 decimal places.) Stock A Stock B % % 1. Alpha Information ratio ist. Sharpe ratio iv. Treynor measure - Which stock is the best choice under the following circumstances? i This is the only risky asset to be held by the investor. This stock will be mixed with the rest of the investor's portfolio, currently composed solely of holdings in the market-index fund. This is one of many stocks that the investor is analyzing to form an actively managed stock portfolio Consider the two (excess return) Index-model regression results for stocks A and B. The risk-free rate over the period was 4%, and the market's average return was 11%. Performance is measured using an index model regression on excess returns. Index model regression estimates R-square Residual ntandard deviation, () Standard deviation of excess returns stock 10 + 1.27MB) 0.683 12.10 23.41 Btock 2010.BDM - FE) 0.49 20.94 28.5 a. Calculate the following statistics for each stock (use whole percent values, 1%, not 0.01 for example, for your calculations): (Round your answers to 4 decimal places.) Stock A Stock B % 1. Alpha i. Information ratio Sharpe ratio iv. Treynor measure b. Which stock is the best choice under the following circumstances? FSTOCKA This is the only risky asset to be held by the investor This stock will be mixed with the rest of the investor's portfolio, currently compound Hotely of holding in the market-index fund it. This is one of many stocks that the investors analyzing to form an actively managed stock portfolio Stock Stock

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