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Given the following data, answer questions 1 to 3 below: Average Standard Fund Beta return deviation AB 25% 35% 1.4 CD 18% 30% 1.1 EF
Given the following data, answer questions 1 to 3 below: Average Standard Fund Beta return deviation AB 25% 35% 1.4 CD 18% 30% 1.1 EF 20% 1.3 24% 20% S&P500 16% 1 Risk-free 6% 1. What is the Treynor measure for portfolios AB and EF respectively?* 5 points a. 10.00%; 13.75% b. 13.57%; 8.57% O c.58.33%; 54.29% O d. 40.00%; 58.33% e. None of the above 2. Which of the following statements is INCORRECT?* 7 points a. Modigliani squared of AB and CD respectively are equal to 0.86% and -2%, while the Jensen alpha's measure of EF and AB respectively are equal to 1% and 5%. b. Jensen alpha's measure of AB and CD respectively are equal to 5% and 1%, while Modigliani squared of EF and CD respectively are equal to 1.67% and -2%. c. Modigliani squared of CD and AB respectively are equal to-2% and 0.86%, while the Jensen alpha's measure of EF and AB respectively are equal to 1% and 5%. d. Jensen alpha's measure of EF and CD are similar and equal to 1%, while Modigliani squared of AB and EF respectively are equal to 0.86% and -2%. e. None of the above 4 points 3. If these portfolios are subcomponents that make up part of a well- diversified portfolio, then portfolio is preferred. * a AB b. CD 0 c c. EF d. S&P 500 O O e. All of the above
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