Question
Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R P P P X 12 % 29 % 1.25
| Consider the following information concerning three portfolios, the market portfolio, and the risk-free asset: |
| Portfolio | RP | P | P | ||
| X | 12 | % | 29 | % | 1.25 |
| Y | 11 | 24 | 1.10 | ||
| Z | 8 | 14 | .75 | ||
| Market | 10 | 19 | 1.00 | ||
| Risk-free | 4 | 0 | 0 | ||
| What is the Sharpe ratio, Treynor ratio, and Jensens alpha for each portfolio? (Negative values should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your Sharpe ratio answers and Treynor ratio answers to 5 decimal places and Jensen's alpha answers to 2 decimal places. Omit the "%" sign in your response.) |
| Portfolio | Sharpe Ratio | Treynor Ratio | Jensen's Alpha |
| X | % | ||
| Y | % | ||
| Z | % | ||
| Market | % | ||
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A Guide To Starting Your Hedge Fund
Authors: John Thompson, Erik Serrano Berntsen
1st Edition
0470519401, 978-0470519400
