The risk-free rate is currently 8.1%. Use the data in the accompanying table for the Fio family€™s portfolio and the market portfolio during the year just ended to answer the questions that follow.

a. Calculate Sharpe€™s measure for the portfolio and the market. Compare the 2 measures, and assess the performance of the Fios€™s portfolio during the year just ended.
b. Calculate Treynor€™s measure for the portfolio and the market. Compare the 2 measures, and assess the performance of the Fios€™s portfolio during the year just ended.
c. Calculate Jensen€™s measure (Jensen€™s alpha). Use it to assess the performance of the Fios€™s portfolio during the year just ended.
d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios€™s portfolio during the year just ended.

Transcribed Image Text:

Data Item Rate of return Standard deviation of return Beta Fios's Portfolio 12.8% 13.5% 1.10 Market Portfolio 11.2% 98% 1.00