The return, risk, and beta numbers for three securities, the market portfolio, and the Tbills are given in the following table. Using these, calculate the Sharpe & Treynor ratios, the Jensens Alpha, and the M2 measure for these three securities. Fillin all the empty spaces in the table, and show your work on the back of this page.

Asset: Exp. Ret, Std. Dev, Beta Sharpe, Treynor, Jensen, Msqr

Sigma 24% 32% 1.24% ? ? ? ?

Theta 19% 23% 1.58 ? ? ? ?

Omega 14% 19% 1.15 ? ? ? ?

Market 8% 11% 1

TBill 4% 1

Weight, RHP

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