Question
Consider the following data for a particular sample period when returns were high. Portfolio A Market M Average return 35% 28% Beta 1.2 1 Standard
Consider the following data for a particular sample period when returns were high.
Portfolio A Market M
Average return 35% 28%
Beta 1.2 1
Standard deviation 42% 30%
Required
Calculate the three performance measures (sharpe, Jensen or alpha, and Treyner's ratios) for portfolio A and the market. The Treasury bill rate during the period was 6%. By which measures did portfolio A outperform the market?
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Financial And Managerial Accounting
Authors: Jan R. Williams, Joseph V. Carcello, Mark S. Bettner, Sue Haka, Susan F. Haka
14th International Edition
0071101217, 9780071101219
