Question
JingHui is about to have her end-of-year performance review (for the past year) for a portfolio she manages. This is a well-diversified portfolio, and in
JingHui is about to have her end-of-year performance review (for the past year) for a portfolio she manages. This is a well-diversified portfolio, and in preparation for this meeting JingHui has prepared the following information: the risk-free rate was 2.45%, the market return was 8.5%, the actual portfolio return was 9.7%, the beta was 0.89, the portfolio PE was 23.2, the return on her largest weight holding was 18.6%, the std dev of the portfolio was 11%, and the std dev of the market was 13.6%.
What was JingHui's risk-adjusted out-performance?
Step by Step Solution
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Step: 1
Answer To calculate JingHuis riskadjusted outperformance we can use the Sharpe ratio and the Jensens ...Get Instant Access to Expert-Tailored Solutions
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