1. The following portfolios are being considered for investment. Assume that the risk free interest rate is 7%. Portfolio D Portfolio A 15% Portfolio B 20% 1.5 0.10 Return (R) Beta (B) Standard Deviation (0) Portfolio C 10% 0.6 0.03 17% Market Portfolio 13% 1.0 0.04 1.0 0.05 1.1 0.06 a) Compute the Sharpe and Treynor ratios for each portfolio and for the market portfolio. Make your calculations in rows 18 and 19. b) Based on each measure, rank the portfolios from 1(best) to 5 (worst). Place your rankings in rows 18 and 19. c) Why do the two measures give such different rankings for portfolio B? Place your answer in cell B33. Question #1 Risk-free Rate (RFR) 7.0% Part (a) Return (R) Beta (6) Standard Deviation Portfolio A 15% 1.0 0.05 Portfolio B 20% 1.5 0.10 Portfolio C 10% 0.6 0.03 Portfolio D Market Portfolio 17% 13% 1.1 1.0 0.06 0.04 Sharpe Ratio Treynor Ratio Part (b) Sharpe Ratio Treynor Ratio Part (c) Why do the two measures give such different rankings for portfolio B