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Risk and Return Analysis Portfolio S&P 500 Daily Arithmetic Mean 0.061% 0.117% Daily Geometric Mean 0.059% 0.113% Standard Deviation of Daily Returns 0.545% 0.971% Variance
Risk and Return Analysis | Portfolio | S&P 500 |
Daily Arithmetic Mean | 0.061% | 0.117% |
Daily Geometric Mean | 0.059% | 0.113% |
Standard Deviation of Daily Returns | 0.545% | 0.971% |
Variance of Daily Returns | 0.003% | 0.009% |
Annual Arithmetic Mean | 22.27% | 42.87% |
Annual Geometric Mean | 21.54% | 41.16% |
Standard Deviation of Annual Returns | 198.79% | 354.40% |
Variance of Annual Returns | 1.08% | 3.44% |
Beta | 0.56 | 1.00 |
Sharpe | 7.43 | 4.23 |
Treynor | 0.07 | 0.04 |
Jensen's Alpha | 0.017 | 0.018 |
Coefficient of Variation | 8.98 | 8.27 |
Risk Free Return (10-year T-Bill) U.S. Dept. of Treasury 1.2% |
Explain if the portfolio performed better, worse, or parallel to the S&P 500 for arithmetic mean, geo mean, standard dev, beta, Sharpe, treynor, Jensen's alpha, and coefficient of variation. Provide detailed support for your decision.
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