Given the following information: a. Rank the portfolios on RVAR. b. Rank the portfolios on RVOL. c.

Question:

Given the following information:

a. Rank the portfolios on RVAR.

b. Rank the portfolios on RVOL.

c. Rank the portfolios on alpha.

d. Which portfolio had the smaller nonsystematic risk?

e. Which portfolio had the larger beta?

f. Which portfolio had the larger standard deviation?

g. Which portfolio had the larger average return?

h. How are the answers to (0 and (g) related to the results for the composite performance measures?

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Investments Analysis and Management

ISBN: 978-1118363294

12th edition

Authors: Charles P. Jones

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Question Posted: Dec 15, 2015 06:33 AM

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Given the following information: a. Rank the portfolios on RVAR. b. Rank the portfolios on RVOL. c.

Question:

Period Market Ret. RF Portfolio Portfolio 2 0.16 0.20 0.04 0.26 0.21 0.06 0.01 0.12 0.32 0.25 0.12 .07 0.10 07 0.02 08 0.20 08 0.16 07 003 08 005 07 0.13 07 0.30 08 0.15 09 0.14 0.18 0.06 0.30 021 0.04 0.004 0 0.28 0.20 10

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Investments Analysis and Management

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