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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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