Average 0.75% 4.35% Historical Performance 0.83% 3.26% 1.16% 4.76% 1.02% 4.56% St. Dev. Rf = 0.01% Intercept Beta St. Dev. (e) 1 0.00533 0.38919 2.79% 0.00818 0.44815 4.345% 0.00668 0.47128 4.07% Relative Performance Measures Sharpe Ratio 0.1710 0.2505 0.2406 0.2223 M 0.35% 0.30% 0.22% Treynor Index 0.0074 0.0210 0.0256 0.0215 R (CAPM Predicted) 0.30% 0.34% 0.36% Jehnsen alpha 0.53% 0.81% 0.66% Info Ratio 0.1914 0.1883 0.1640 Potential Sharpe Ratio 0.2567 0.2543 0.2369 Value at Risk Evaluation -3% -3% VaR (loosing more than) ... Probability = -3% 0.431 -3% 0.191 0.120 0.189 If Investment Value = $ VaR = $100,000 ($3,000) $100,000 ($3,000) $100,000 ($3,000) $100,000 ($3,000) with chance of ... Return will be less than 0.25 -2.18% 0.25 -1.37% 0.25 -2.06% 0.25 -2.05% If Investment Value = $ VaR = $100,000 ($2,183) $100,000 ($1,372) $100,000 ($2,056) $100,000 ($2,053) 8. If Suggested Allocation Portfolio had same level of risk as S&P 500, what return would you expect it to have? a. 0.30% b. 0.75% c. 0.81% d. 1.06% e. 1.16% Average 0.75% 4.35% Historical Performance 0.83% 3.26% 1.16% 4.76% 1.02% 4.56% St. Dev. Rf = 0.01% Intercept Beta St. Dev. (e) 1 0.00533 0.38919 2.79% 0.00818 0.44815 4.345% 0.00668 0.47128 4.07% Relative Performance Measures Sharpe Ratio 0.1710 0.2505 0.2406 0.2223 M 0.35% 0.30% 0.22% Treynor Index 0.0074 0.0210 0.0256 0.0215 R (CAPM Predicted) 0.30% 0.34% 0.36% Jehnsen alpha 0.53% 0.81% 0.66% Info Ratio 0.1914 0.1883 0.1640 Potential Sharpe Ratio 0.2567 0.2543 0.2369 Value at Risk Evaluation -3% -3% VaR (loosing more than) ... Probability = -3% 0.431 -3% 0.191 0.120 0.189 If Investment Value = $ VaR = $100,000 ($3,000) $100,000 ($3,000) $100,000 ($3,000) $100,000 ($3,000) with chance of ... Return will be less than 0.25 -2.18% 0.25 -1.37% 0.25 -2.06% 0.25 -2.05% If Investment Value = $ VaR = $100,000 ($2,183) $100,000 ($1,372) $100,000 ($2,056) $100,000 ($2,053) 8. If Suggested Allocation Portfolio had same level of risk as S&P 500, what return would you expect it to have? a. 0.30% b. 0.75% c. 0.81% d. 1.06% e. 1.16%