Risk-Adjusted Return Measurements. 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 returns = 2%
• Standard deviation of Load stock returns = 4%
• Beta of Crane stock = 0.8
• Beta of Load stock = 1.1
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?
