Question
a. A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14%
a. A portfolio generates an annual return of 13%, a beta of 0.7 and a standard deviation of 17%. The market index return is 14% and has a standard deviation of 21%. What is the Treynor measure of the portfolio if the risk free rate is 5%?
b. A portfolio generates an annual return of 17%, a beta of 1.3 and a standard deviation of 20%. The market index return is 13% and has a standard deviation of 18%. What is Jensen's alpha of the portfolio if the risk free rate is 7%?
c. A portfolio generates an annual return of 17%, a beta of 1.2 and a standard deviation of 19%. The market index return is 12% and has a standard deviation of 16%. What is the M2 measure of the portfolio if the risk free rate is 4%?
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Short Term Financial Management
Authors: Terry S. Maness, John T. Zietlow
2nd Edition
0030315131, 978-0030315138
