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Consider the following portfolio positions which were opened on May 1 st at market close and closed on June 19 th at market close. Long
Consider the following portfolio positions which were opened on May 1st at market close and closed on June 19th at market close.
- Long 100 shares of Apple ($AAPL)
- Long 1,000 shares of Advanced Micro Devices ($AMD)
- Long 250 shares of Berkshire Hathaway ($BRK-B)
- Long 5,000 shares of Ford Motor Company ($F)
- Long 25 shares of Google ($GOOG)
- Long 350 shares of SPDR S&P 500 ETF ($SPY)
- Short 200 shares of The Walt Disney Company ($DIS)
Estimate the following metrics of portfolio performance. Use the S&P 500 as a proxy for the market portfolio.
a) Sharpe Ratio using daily data. Compare your result to the Sharpe Ratio of market in this period. b) Treynor Ratio.
- Modigliani Squared.
- Jensens Alpha.
Comment on the quality of the portfolio.
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