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You've collected the following historical information: - Return on risky portfolio: 13% - Beta of risky portfolio: 1.3 - Standard deviation of returns: 28% -
You've collected the following historical information: - Return on risky portfolio: 13% - Beta of risky portfolio: 1.3 - Standard deviation of returns: 28% - Residual standard deviation (tracking error): 40% - Treasury bill rate: 2% - Return on S\&P 500: 4.6% - Standard deviation of returns on S\&P 500: 22% Your job is to evaluate the performance of the risky portfolio. art 1 What is the Sharpe ratio? What is the Treynor measure? What is Jensen's alpha? What is the information ratio
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