Question
Hlaikal's portfolio has a beta of 1.3 and earned a return of 12.9% during the year just ended. The risk-free rate is currently 4.2%. The
Hlaikal's portfolio has a beta of 1.3 and earned a return of 12.9% during the year just ended. The risk-free rate is currently 4.2%. The return on the market portfolio during the year just ended was 11.0%.
a)Calculate Jensen's measure (Jensen's alpha) for Haikal's portfolio for the year just ended. (3 marks)
b) Compare the performance of Haikal's portfolio found in part a with his friend's portfolio, which has a Jensen's measure of -0.24. Which portfolio performed better? (2 marks)
[Total: 5 Marks]
Answers Haikal's portfolio has a beta of 1.3 and earned a return of 12.9% during the year just ended. The risk-free rate is currently 4.2%. The return on the market portfolio during the year just ended was 11.0%. Jensen's measure Which portfolio performed better? a. Calculate Jensen's measure (Jensen's alpha) for Haikal's portfolio for the year just ended. (3 marks) b. Compare the performance of Haikal's portfolio found in part a with his friend's portfolio, which has a Jensen's measure of -0.24. Which portfolio performed better? (2 marks) [Total: 5 Marks]Step by Step Solution
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Personal Finance For Canadians
Authors: Elliot Currie, Thomas Chambers, Kathleen Brown
9th Edition
0132286750, 978-0132286756
