Consider the following data for a particular sample period:

Portfolio P Market M Average return 35% 28%

Beta 1.20 1.00 Standard deviation 42% 30%

Tracking error

(nonsystematic risk), σ(e)

18% 0 Calculate the following performance measures for portfolio P and the market: Sharpe, Jensen (alpha), Treynor, information ratio. The T-bill rate during the period was 6%. By which measures did portfolio P outperform the market?

.P-96