(Regression, Sharpe, Jensen’s alpha, Treynor for portfolio) Consider the data of another stock—3M Corporation.

a. Graph the excess returns of 3M against those of the S&P 500.

Use Excel to compute the regression line and the R2

.

b. Calculate the Sharpe ratio, Jensen’s alpha, and Treynor ratio for 3M.

c. Does 3M have excess performance?

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A 1 B C 3M AND S&P 500 D S&P total 3M 1-year 23456789 Year return return T-bill 2002 -23.37% 6.42% 2.17% 2003 26.38% 40.62% 1.32% 2004 8.99% -1.74% 1.26% 2005 3.00% -3.50% 2.75% 2006 13.62% 2.97% 4.38% 2007 3.53% 10.74% 5.00% 2008 -38.49% -29.83% 3.34% 10 2009 23.45% 48.53% 0.37% 11 2010 12.78% 7.07% 0.47% 12 2011 0.00% -2.84% 0.29% 13 2012 13.41% 16.67% 0.12% 14 2013 29.60% 54.45% 0.16% 15 2014 11.39% 20.00% 0.13%