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Suppose the returns and corresponding beta values for two assets (A and B) and the market (M) are as indicated in the accompanying figure as
Suppose the returns and corresponding beta values for two assets (A and B) and the market (M) are as indicated in the accompanying figure as per below:
- Compute the Treynor Index for A and B. Interpret the results.
- Compute the Jensen index for A and B. Interpret the results.
- Suppose one manager had selected a portfolio represented by A and another manager had selected a portfolio represented by B. Would you feel confident in evaluating the managers relative performance with the Treynor or Jensen results? Explain.
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Quantitative Analysis For Management
Authors: Barry Render, Ralph M. Stair, Michael E. Hanna, Trevor S. Hale
14th Edition
0137943601, 9780137943609
