Question
a) The following data are available relating to FIVE portfolios and the market for a recent 10-year period. Portfolio % Annual Return (TRP) Standard
a) The following data are available relating to FIVE portfolios and the market for a recent 10-year period. Portfolio % Annual Return (TRP) Standard deviation Beta R 1 15.86 22.85 1.46 0.64 2 18.10 13.44 0.96 0.79 3 18.59 21.68 1.45 0.69 4 22.09 17.27 1.24 0.79 5 18.39 11.82 0.60 0.39 NSE 20 Share index 16.35 12.44 Risk Free rate (Rf) 7.96 REQUIRED 1) Rank these portfolios using Sharpe's measure (2 Marks) 2) Rank these portfolios using the Treynor's measure (2 mark) 3) Which of these portfolios out-performed the market? (2 marks)
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Corporate Finance and Investment decisions and strategies
Authors: Richard Pike, Bill Neale, Philip Linsley
8th edition
1292064064, 978-1292064161, 1292064161, 978-1292064062
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