Question:
Assume the following information over a five-year period:
average risk-free rate =6%
average return for Crane stock =11%
average return for Load stock = 14%
standard deviation of Crane stock return =2%
standard deviation of Load stock returns = 4%
Beta of Crane stock = 0.8
Beta of Load stock = 1.1
Can you determine which stock has higher risk-adjusted returns when using the Sharpe index? Which stock has higher risk-adjusted returns when using the Treynor index? Can you please show me your work?