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You are given the following table Average return (%) standard deviation (%) Beta Market index 10.7 19 1 Portfolio A 19.4 44.2 1.34 Portfolio B
You are given the following table
Average return (%) | standard deviation (%) | Beta | |
Market index | 10.7 | 19 | 1 |
Portfolio A | 19.4 | 44.2 | 1.34 |
Portfolio B | 13.5 | 21.8 | 1.12 |
Portfolio C | 12.9 | 17.6 | 1.30 |
Portfolio D | 9.3 | 5.6 | 0.71 |
a) If the risk free rate is 5.6%, calculate the following performance measures for each portfolios and the market index.
Jenson's alpha
Sharpe measure
Treynor measure
b) compare and comment on your answers from part (a) above
c) which fund exhibited the best performance? Why?
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