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

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 monoh 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 monoh