Question
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio R p p p X 14.0 % 39
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
| Portfolio | Rp | p | p | ||
| X | 14.0 | % | 39 | % | 1.50 |
| Y | 13.0 | 34 | 1.15 | ||
| Z | 8.5 | 24 | .90 | ||
| Market | 12.0 | 29 | 1.00 | ||
| Risk-free | 7.2 | 0 | 0 | ||
What are the Sharpe ratio, Treynor ratio, and Jensens alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.)
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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
