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You are evaluating the performance of the following portfolio managers. Assume that the risk-free rate of 2.5% is applicable to this situation. Portfolio Return Beta
You are evaluating the performance of the following portfolio managers. Assume that the risk-free rate of 2.5% is applicable to this situation.
Portfolio | Return | Beta | Standard deviation |
A | 0.13 | 1.1 | 0.06 |
B | 0.21 | 1.7 | 0.12 |
C | 0.10 | 0.75 | 0.04 |
D | 0.15 | 1.1 | 0.05 |
Market | 0.11 | 1.0 | 0.045 |
Compute the Sharpe measure and Treynors composite measure for portfolios A, B, C, D and the Market portfolio.
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