Question
One-Factor model with the market portfolio has been estimated for excess returns of funds A and B with the following results: Ra = .03 +
One-Factor model with the market portfolio has been estimated for excess returns of funds A and B with the following results:
Ra = .03 + .7Rm + eA
Rb = .01 + .9Rm + eB
M = .35; (eA) = .20 (eB) = .10
For both functions report the Jensens's alpha, adjusted Treynor ratio and Information ratio. Then find the Sharpe ratios of the funds if the market risk premium is 10%
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Intermediate Financial Management
Authors: Eugene F. Brigham, Phillip R. Daves
11th edition
978-1111530266
