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Tiane Atkin, a portfolio manager at Zerbas Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research department
Tiane Atkin, a portfolio manager at Zerbas Asset Management, is using the capital asset pricing model for making recommendations to her clients. Her research department has developed the information shown in the following.
| Forcasted return (%) | Standard deviation (%) | Beta |
Share X | 15 | 35 | 0.9 |
Share Y | 18 | 26 | 1.6 |
Market index | 10 | 18 | 1 |
Risk free rate | 6 |
|
|
Calculate for each share
1. Expected returns (based on CAPM)
2. Jensen's Alpha
3. Sharpe ratio
4. Treynor ratio
5. M2 measure
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