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The risk-free rate is currently 8.5%. Use the data in the accompanying table for the Fio family's portfolio and the market portfolio during the year
The risk-free rate is currently 8.5%. Use the data in the accompanying table for the Fio family's portfolio and the market portfolio during the year just ended to answer the questions that follow. (Click on the icon located on the top-right corner of the data table below in order to copy its contents into a spreadsheet.) Data Item Fios' Portfolio Market Portfolio Rate of return 13.3% 11.1% Standard deviation of return 12.9% 10.4% Beta 1.18 1.00 a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios' portfolio during the year just ended. b. Calculate Treynor's measure for the portfolio and the market. Compare the two, and assess the performance of the Fios' portfolio during the year just ended. c. Calculate Jensen's measure (Jensen's alpha). Use it to assess the performance of the Fios' portfolio during the year just ended. d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios' portfolio during the year just ended. a. The Sharpe's measure for the Fio portfolio is (Round to two decimal places.) The Sharpe's measure for the market portfolio is (Round to two decimal places.) Based on the computed Sharpe's measures, the Fio portfolio's performance is to the market's performance. (Select from the drop-down menu.) b. The Treynor's measure for the Fio portfolio is%. (Round to two decimal places.) The Treynor's measure for the market portfolio is 1%. (Round to two decimal places.) Based on the computed Treynor's measures, the Fio portfolio's performance is to the market's performance. (Choose from the drop-down menu.) c. The Jensen's measure for the Fio portfolio is%. (Round to two decimal places.) Based on the computed Jensen's measure, the Fio portfolio the market. (Select from the drop-down menu.) d. On the basis of your findings in parts a, b, and c, the Fio portfolio the market during the year just ended. (Select from the drop-down menu.)
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