The following six (6) questions are based on the following data:

Year	Rp	Rm	Rf
2000	18.1832	-24.9088	5.112
2001	-3.454	-15.1017	5.051
2002	47.5573	20.784	3.816
2003	28.7035	9.4163	4.2455
2004	29.8613	8.7169	4.2182
2005	11.2167	16.3272	4.3911
2006	32.2799	14.5445	4.7022
2007	-41.0392	-36.0483	4.0232
2008	17.6082	9.7932	2.2123
2009	14.1058	16.5089	3.8368
2010	16.1978	8.0818	3.2935
2011	11.558	15.1984	1.8762
2012	42.993	27.1685	1.7574
2013	18.8682	17.2589	3.0282
2014	-1.4678	5.1932	2.1712
2015	9.2757	4.4993	2.2694
2016	8.5985	23.624	2.4443

When performing calculations in the following problems, use the numbers in the table as-is. I.e., do NOT convert 8.5985 to 8.5985% (or 0.085985). Just use plain 8.5985.

1. Using the basic market model regression, R p = + R m + , what is the beta of this portfolio? Yes, this is an opportunity to practice regression analysis. You can use Excel or other tool of choice.

2. For precision, find the portfolio beta using the excess return market model:

R p R f = + ( R m R f ) +

[Hint: compute annual excess returns first, then run regression.]

3. Using the excess return beta from the previous problem, what is Jensen's alpha for the portfolio?

[Hint: use Equation (17.6) from Moore (2015)]

4. What is the portfolio's M2 measure?

5. What is the Sharpe Ratio of the portfolio using the following equation:

6. Following Equation (22-10) of the Jones (2015) book, compute the Sortino Ratio of the portfolio using a minimal acceptable return of R M A = 3. To calculate D D p:

1. Compute R p R M A each year.
2. n = number of years R p R M A < 0.
3. D D p = 1 n 1 ( R p R M A ) 2 for the years when