Consider the following data for a particular sample period: Calculate the following performance measures for portfolio P
Question:
Consider the following data for a particular sample period:
Calculate the following performance measures for portfolio P and the market: Sharpe, Jensen (alpha), and Treynor. The T-bill rate during the period was 6%. By which measures did portfolio P outperform the market?
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Average return Beta Standard deviation Portfolio P 35% 1.2 42% Market M 28% 1.0 30%
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Related Book For
Essentials Of Investments
ISBN: 9780073368719
7th Edition
Authors: Zvi Bodie, Alex Kane, Alan J. Marcus
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