Question
Year Rp Rm Rf 2000 18.1832 -24.9088 5.112 2001 -3.454 -15.1017 5.051 2002 47.5573 20.784 3.816 2003 28.7035 9.4163 4.2455 2004 29.8613 8.7169 4.2182 2005
| Year | Rp | Rm | Rf |
| 2000 | 18.1832 | -24.9088 | 5.112 |
| 2001 | -3.454 | -15.1017 | 5.051 |
| 2002 | 47.5573 | 20.784 | 3.816 |
| 2003 | 28.7035 | 9.4163 | 4.2455 |
| 2004 | 29.8613 | 8.7169 | 4.2182 |
| 2005 | 11.2167 | 16.3272 | 4.3911 |
| 2006 | 32.2799 | 14.5445 | 4.7022 |
| 2007 | -41.0392 | -36.0483 | 4.0232 |
| 2008 | 17.6082 | 9.7932 | 2.2123 |
| 2009 | 14.1058 | 16.5089 | 3.8368 |
| 2010 | 16.1978 | 8.0818 | 3.2935 |
| 2011 | 11.558 | 15.1984 | 1.8762 |
| 2012 | 42.993 | 27.1685 | 1.7574 |
| 2013 | 18.8682 | 17.2589 | 3.0282 |
| 2014 | -1.4678 | 5.1932 | 2.1712 |
| 2015 | 9.2757 | 4.4993 | 2.2694 |
| 2016 | 8.5985 | 23.624 | 2.4443 |
A) Using the basic market model regression, R p = + R m + , what is the beta of this portfolio?
B) For precision, find the portfolio beta using the excess return market model: R p R f = + ( R m R f ) +
[Hint: compute annual excess returns first, then run regression.]
C) Using the excess return beta from the previous problem, what is Jensen's alpha for the portfolio?
D) What is the portfolio's M2 measure?
E) What is the Sharpe Ratio of the portfolio?
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After The Quality Audit Closing The Loop On The Audit Process
Authors: J. P. Russell, Terry Regel
2nd Edition
0873894863, 978-0873894869
