Question
(i) Given that the risk free rate and market return are 3% and 10% respectively, calculate access return, Sharpe ratio and Treynor ratio of each
(i) Given that the risk free rate and market return are 3% and 10% respectively, calculate access return, Sharpe ratio and Treynor ratio of each portfolio.
(ii) From the evaluation on the performance these portfolios above, which portfolio performed better? Why do you think so?
| PORTFOLIO | Number of securities | portfolio retur,r | portfolio risk, a | portfolio bet, b | |
| X | 25% | 20% | 10% | 1 | |
| Y | 20% | 30% | 20% | 1.5 |
Step by Step Solution
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i To calculate the excess return Sharpe ratio and Treynor ratio for each portfolio we first need to ...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
