Duke's Fuqua School of Business

The 3 month US treasury yield was used as the risk-free rate; return prior to fees and taxes , with an annualized standard deviation of 10.37%, yielding a Sharpe ratio of 0.76. This compares to the S&P’s excess return of 4.08% with a risk of 15.2%, for a risk-adjusted return of 0.27. ................
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