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Suppose you have invested 15 million, 5 million in each i.e. active, passive and market portfolios. RORs (for 5 weeks) for each portfolio given below.
Suppose you have invested 15 million, 5 million in each i.e. active, passive and market portfolios. RORs (for 5 weeks) for each portfolio given below. Draw the SML line by calculating excess returns for passive portfolio only. The annual T-bills rate for 3 months is 7%. Rank the portfolios using Sharpe ratio only. (15 marks) RORs Weeks Active Passive Index 0 1 2% 1% 1.5% 2 1 -2 3 3 2 0 0 4 3 2 1 5 4 2 3
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