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Kindly assist with interpretation of Sharpe, Treynor and Jenson Ratios. My answers are as follows, I need to add financial commentary on the results. Sharpe
Kindly assist with interpretation of Sharpe, Treynor and Jenson Ratios.
My answers are as follows, I need to add financial commentary on the results.
| Sharpe Ratio | = | (Rp-Rf)/ |
| = | (Portfolio return/Risk Free Rate)/Standard Deviation | |
| Portfolio Return | = | 3.08% (Advtech return (av) above) |
| Risk Free Rate | = | 3.06% (Treasury bill rate: given) |
| Standard Deviation of the portfolio | = | 0.15% (Workings above) |
| Sharpe Ratio | = | (3.08%-3.06%)/0.15% |
| Sharpe Ratio | = | 0.133 |
| Treynor ratio | = | (Rp-Rf)/ |
| = | (Portfolio Return - Risk Free Rate )/Beta | |
| Portfolio Return | = | 3.08% (Advtech return) |
| Risk Free Rate | = | 3.06% (Treasury bill rate: given) |
| Beta of the portfolio | = | 0.8 (Given) |
| Treynor ratio | = | (3.08%-3.06%/0.8 |
| Treynor ratio | = | 0.00025 |
| Jensen Ratio | = | Rp (rf + bp(Rm rf)) |
| = | Portfolio Retun- (Risk Free Rate+Beta (Market Return-Risk Free Rate)) | |
| Portfolio Return | = | 3.08% (Advtech return) |
| Risk Free Rate | = | 3.06% (Given) |
| Beta | = | 0 (Given) |
| Market Return | = | 3% (Market Index given) |
| Jensen Ratio | = | 3.08%-(3.06%+0(3%-3.06%) |
| Jensen Ratio | = | 0.02% |
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International Accounting
Authors: Frederick D. Choi, Gary K. Meek
6th edition
978-0131588141
