Qac stock outperformed the market portfolio

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Reference no: EM131950218

You are assigned to evaluate the performance of the QAC stock. You collect the past data on the risk-free assets, the stock, and the market index. You use the excess returns of the stock and the market index to run the regression. The regression yields an intercept, equal to .07 and a beta equal to 1.2. The standard error of the alpha is .02. The average returns for the risk-free asset, the stock, and the market index are .05, .15, and .10 respectively. The standard deviations (based on excess returns) for the stock and the market index are .20 and .30 respectively. What should your conclusion be on the stock’s performance based on Sharpe measure?

a. QAC stock under-performed the market portfolio

b. QAC stock outperformed the market portfolio

Reference no: EM131950218

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