The following data are available for five portfolios and the market for a recent 10-year period: a.

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The following data are available for five portfolios and the market for a recent 10-year period:

a. Rank these portfolios using the Sharpe measure.

b. Rank these portfolios using the Treynor measure.

c. Compare the rankings of portfolios 1 and 2. Are there any differences? How can you explain these differences?

d. Which of these portfolios outperformed the market?

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Investments Analysis and Management

ISBN: 978-1118363294

12th edition

Authors: Charles P. Jones

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Question Posted: Dec 15, 2015 06:34 AM

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The following data are available for five portfolios and the market for a recent 10-year period: a.

Question:

Average Annual Return (%) 14 16 26 17 10 12 Standard Deviation 3pR 1.15 0.70 I.I 0.98 1.3 0.96 0.9 0.92 0.45 0.60 21 30 25 18 20 S&P 500 RF

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a b c Yes there are differences Note that the numer...View the full answer

Investments Analysis and Management

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