Compute annualized sample mean volatility and sharpe ratio, Financial Accounting

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Compute annualized sample mean volatility and sharpe ratio

Problem

Using monthly data for 1950:01 to 2019:12 (840 observations) from Kenneth French's Data Library, the sample mean return for the "high-minus-low" value factor is 0.310%, while the sample standard deviation is 2.698%.

1. Compute the annualized sample mean, volatility, and Sharpe ratio for the value factor return.
2. Is the average value factor return (i.e., value risk premium) significantly different from zero?
3. Construct a 90% confidence interval for the value risk premium.

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Financial Accounting: Compute annualized sample mean volatility and sharpe ratio

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Financial Accounting: Compute annualized sample mean volatility and sharpe ratio

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