A fund sponsor would like to appraise the performance of one of its portfolio managers and...

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A fund sponsor would like to appraise the performance of one of its portfolio managers and has gathered the following information: Portfolio Average Return 12.00% 7.90% Market The risk-free rate is 1.36% and the portfolio's beta is 1.8. Standard Deviation 23.00% 13.03% (a) (i) Calculate and interpret Jensen's alpha for the portfolio. (3 marks) (ii) Using your answer to part (a)(i), evaluate the portfolio performance. (2 marks) (b) (i) Calculate and interpret the portfolio's Sharpe ratio. (3 marks) (ii) (iii) Using your answer to part (b)(i), evaluate the portfolio performance. (3 marks) Using your answers to parts (b)(i) and (b)(ii), discuss how the portfolio's M will compare to market's average return. (3 marks) A fund sponsor would like to appraise the performance of one of its portfolio managers and has gathered the following information: Portfolio Average Return 12.00% 7.90% Market The risk-free rate is 1.36% and the portfolio's beta is 1.8. Standard Deviation 23.00% 13.03% (a) (i) Calculate and interpret Jensen's alpha for the portfolio. (3 marks) (ii) Using your answer to part (a)(i), evaluate the portfolio performance. (2 marks) (b) (i) Calculate and interpret the portfolio's Sharpe ratio. (3 marks) (ii) (iii) Using your answer to part (b)(i), evaluate the portfolio performance. (3 marks) Using your answers to parts (b)(i) and (b)(ii), discuss how the portfolio's M will compare to market's average return. (3 marks)