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Andrew manages three portfolios with past characteristics listed below: portfolio return S.t beta A 15% 15% 1.4 risk free rate 0.01 B 18% 17% 1.2
Andrew manages three portfolios with past characteristics listed below:
portfolio | return | S.t | beta | ||
A | 15% | 15% | 1.4 | risk free rate | 0.01 |
B | 18% | 17% | 1.2 | market portfolio | 0.11 |
C | 13% | 10% | 0.9 | ST.V MARKET | 0.16 |
Calculate the performance of each portfolio and rank the portfolios using the following four methods:
Treynor RATIO | sharp ratio | M^2 | Information ratio | Jensen Alpha |
please provide the explanation
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