You have been assigned the task of comparing the investment performance of five different investment managers. After gathering 60months of excess returns (i.e. returns in excess of monthly risk-free rate) on each fund as well as the monthly excess returns on theentire stock market, you perform the regression of the form (Rp - RFR)t = a + B(RM - RFR)t + &t. You have prepared the followingsummary of the data, with the standard errors for each of the coefficients listed in parenthesis.Regression Data(Rp - RFR)Portfolio Alpha Beta R2MeanSigma0.192 1.048XMN94.1% 1.022% 1.193%(0.11) (0.10)-0.053 0.662|РЕК91.6% 0.473 0.764(0.19) (0.09)0.463 0.594PVG68.6% 0.9350.793(0.19) (0.07)0.355 0.757SZX64.1% 0.9551.044(0.22) (0.08)0.296 0.785CAN94.8% 0.890 0.890(0.14) (0.12)1. Which portfolio do you think had the highest degree of diversification over the sample period? Explain.2. Rank these portfolios' performance according to the Sharpe, Treynor, and Jensen measures.3. Identify performing and poorly-performing portfolio. Explain.

Solution: Answer to Part (1): It is seen from the information given in the question: That the…

Answered: 1. Which portfolio do you think had the…

MATLAB: An Introduction with Applications

6th Edition

ISBN:9781119256830

Author:Amos Gilat

Publisher:Amos Gilat

Chapter1: Starting With Matlab

Section: Chapter Questions

Problem 1P

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1. Which portfolio do you think had the highest degree of diversification over the sample period? Explain. 2. Rank these portfolios' performance according to the Sharpe, Treynor, and Jensen measures. 3. Identify performing and poorly-performing portfolio. Explain.