Question
Andrew manages three portfolios with past characteristics listed below: portfolio return S.t beta A 15% 15% 1.4 risk free rate 0.01 B 18% 17% 1.2
Andrew manages three portfolios with past characteristics listed below:
| portfolio | return | S.t | beta | ||
| A | 15% | 15% | 1.4 | risk free rate | 0.01 |
| B | 18% | 17% | 1.2 | market portfolio | 0.11 |
| C | 13% | 10% | 0.9 | ST.V MARKET | 0.16 |
Calculate the performance of each portfolio and rank the portfolios using the following four methods:
| Treynor RATIO | sharp ratio | M^2 | Information ratio | Jensen Alpha |
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Treynor Ratio Portfolio A Treynor Ratio 15 001 14 993 Portfolio B Treynor Ratio 18 001 12 1417 Portfolio C Treynor Ratio 13 001 09 1333 Rankings Portf...
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Income Tax Fundamentals 2013
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill
31st Edition
1111972516, 978-1285586618, 1285586611, 978-1285613109, 978-1111972516
