Question
The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate = 4%.
The risk-free rate, average returns, standard deviations, and betas for three funds and the S&P 500 are given below. Suppose the risk-free rate = 4%.
| Fund | Avg | Std Dev | Beta |
| A | 13.0% | 40% | 1.1 |
| B | 12.8% | 25% | 1.0 |
| C | 11.2% | 30% | 1.3 |
| S&P 500 | 12.0% | 15% | 1.0 |
Compute the Treynor measure, Sharpe ratio, and Jensens alpha for portfolio A, B, and C.
(a) Based on each measure, which portfolio shows the best performance?
(b) Based on each measure, which portfolios perform better than the market?
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Lectures On Public Economics
Authors: Anthony B. Atkinson, Joseph E. Stiglitz
1st Edition
0691166412, 978-0691166414
