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Over a recent three-year period, the average annual return on a portfolio was 21 percent, beta for the portfolio was 1.5, and the annual return
Over a recent three-year period, the average annual return on a portfolio was 21 percent, beta for the portfolio was 1.5, and the annual return standard deviation for the portfolio was 22 percent. During the same period, the average return on 90-day Treasury bills was 4.5 percent and the average return on the market portfolio was 14 percent.
Compute the following:
- Sharpe ratio
- Treynor ratio
- Jensens alpha
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