You have a choice to invest in either portfolio A or B. Based on the values provided below, what can you say about each portfolio's risk adjusted performance? Which portfolio do you choose to invest in? Please provide rationale for your answer 

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Return Variance Beta SMB HML Risk free rate Portfolio A 10% 2.8% 1.5 1.2 1.8 Portfolio B 18% 2.0% 0.9 0.8 1.7 1% Return Variance Beta SMB HML Risk free rate Portfolio A 10% 2.8% 1.5 1.2 1.8 Portfolio B 18% 2.0% 0.9 0.8 1.7 1%

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Solution Based on the provided data we can calculate the riskadjusted performance of each portfolio ... View the full answer