Question
Analyze the investment opportunity that MTR Corporation Ltd. offers by calculating Jensens alpha and the Sharpe ratio based on the annualized return data you get
Analyze the investment opportunity that MTR Corporation Ltd. offers by calculating Jensens alpha and the Sharpe ratio based on the annualized return data you get from the daily returns from the past year of data. You can assume that the market portfolio is well described through the Hang Seng Index (in which can effectively be invested using ETFs). Note that you have to calculate first expected returns, standard deviations and covariance as well as the beta of MTR to be able to calculate Jensens alpha. Draw the location of MTR in relation to the capital market line (CML) and security market line (SML) and discuss your findings.
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