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Following table reports the annual returns data for stock A, stock B, market portfolio M and risk-free rate RF during the past 12 years. Year

Following table reports the annual returns data for stock A, stock B, market portfolio M and risk-free rate RF during the past 12 years.

Year

A %

B %

M%

RF %

1

-2.54

2.3

-0.9

0.5

2

3.56

5.86

2.86

0.5

3

-4.54

-2.24

-5.44

0.5

4

2.94

5.24

6.2

0.5

5

1.54

-2.3

-5.5

0.5

6

4.54

6.84

4.84

0.6

7

2.54

3.84

-3.2

0.5

8

4.54

-12.3

-15.5

0.7

9

2.94

6.24

7.24

0.5

10

3.21

3.1

3.4

0.4

11

4.42

2.21

2.18

0.5

12

2.11

2.1

3.45

0.5

  1. Calculate the Beta, Jensens alpha and R-squared for the Mr.Johns portfolio returns. Did Mr.John outperform the market or not during past 12 years based on the Jensens alpha.
  2. Calculate the Sharp ratio, Treynor ratio, and information ratio for the Mr.Johns portfolio. ( 3 marks)

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