QUESTION 2 (25 MARKS) a) State whether Sharpe, Jensen and Treynor measure assumes that the relevant risk is systematic, unsystematic, or total. Illustrate with example how each measure relates excess return and the relevant risk. (12 marks) Lela's portfolio has a beta of 1.55 and a standard deviation of 16.5%. The portfolio has a total return of 15.5%. The market risk premium is 8.5%, while the return on the market portfolio was 12.0%. Find the value of Sharpe's measure for Lela's portfolio. (4 marks) Phil has a portfolio with a 15.5% total return. The beta of the portfolio is 1.15 and the standard deviation is 10.5%. Currently, the risk-free rate of return is 4.5% and the overall market has a total return of 11%. Estimate the value of Treynor's measure for Phil's portfolio. (4 marks) C) d) A portfolio has a total return of 10.5%, a beta of 0.72 and a standard deviation of 6.3%. The risk free rate is 3.8%, the market return is 12.4%. Compute Jensen's measure of this portfolio's performance