Which stock has the best performance

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Reference no: EM133114842

Problem:

Stocks

Standard Deviation

Average Daily Return

CIMB (1023.KL)

1.392064068

0.110412281

HONG LEONG BANK (5819.KL)

0.917486147

0.008759785

MAYBANK (1155.KL)

0.825754256

0.01968605

PBB (1295.KL)

1.048821862

0.008729963

RHB CAPITAL (1066.KL)

1.088655859

0.01469079

SIME DARBY (4197.KL)

1.492164764

-0.001397119

GENTING (3182.KL)

1.685587134

0.013488929

AXIATA (6888.KL)

1.905758842

0.052230636

DIGI (6947.KL)

1.921317213

0.034610101

MAXIS (6012.KL)

1.446731279

-0.012946194

Month

3-yr MGS Closing Yield (End of month)

Jan-20

2.86%

Feb-20

2.61%

Mar-20

2.75%

Apr-20

2.40%

May-20

2.27%

Jun-20

2.24%

Jul-20

1.90%

Aug-20

1.83%

Sep-20

1.99%

Oct-20

1.75%

Nov-20

1.91%

Dec-20

1.87%

Jan-21

1.84%

Feb-21

1.98%

Mar-21

2.13%

Apr-21

2.34%

May-21

2.31%

Jun-21

2.27%

Jul-21

2.28%

Aug-21

2.34%

Sep-21

2.44%

Oct-21

2.68%

Nov-21

2.67%

Which stock has the best performance? Justify your answer by computing the Sharpe index of each of these stocks. You need the following information to compute the Sharpe index:

(i) Use the standard deviations, (ii) Use the average daily return, and (iii) Obtain the end of the month 3-year Malaysian Government Securities (MGS) closing yield for the period January 2020 - November 2021

Reference no: EM133114842

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