Question
Calculate and show the Sharpe and Treynor ratios and the alpha (note, it would be laborious to use regression to find your portfolio alpha, but
Calculate and show the Sharpe and Treynor ratios and the alpha (note, it would be laborious to use regression to find your portfolio alpha, but assuming the CAPM is valid, you could use that equation). Would your portfolio be a good total investment? Would it be a good addition to a well-diversified portfolio? Did your portfolio have a proportionally large amount of idiosyncratic risk relative to its systematic risk? How did you choose the composition of the portfolio? Would you use the same strategy again? If not, what would you do differently now? Would you pursue an active or a passive investment strategy next time? Invest in all of the stocks in the investment opportunity set, or only select individual stocks?
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