3. Given the following information: Portfolio A Portfolio B Expected Return 11% 14% Beta 0.8 1.5 Standard Deviation 10% 31% S&P500 Index T-bill 12% 6% 1 20% a) If you currently hold a well-diversified portfolio, would you choose to add either A or B? b) If you currently hold only T-bills, would you choose to add either A or B? Formula Sheet For Help -rf -rf o 1) Sharpe measure S=- 2) Treynor measure T= B 3) Jensen measure: a = -E(r) where E(r)=r;+B[E(1M)=r;] = 4) MP and T measure Asset A relative to Asset B (B as the benchmark) M=(SA-SBOB S for Sharpe ratio T2=(TA-TB)BB T for Treynor ratio