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.
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.
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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Question

Transcribed Image Text:You have been assigned the task of comparing the investment performance of five different investment managers. After gathering 60
months of excess returns (i.e. returns in excess of monthly risk-free rate) on each fund as well as the monthly excess returns on the
entire stock market, you perform the regression of the form (Rp - RFR)t = a + B(RM - RFR)t + &t. You have prepared the following
summary of the data, with the standard errors for each of the coefficients listed in parenthesis.
Regression Data
(Rp - RFR)
Portfolio Alpha Beta R2
Mean
Sigma
0.192 1.048
XMN
94.1% 1.022% 1.193%
(0.11) (0.10)
-0.053 0.662
|РЕК
91.6% 0.473 0.764
(0.19) (0.09)
0.463 0.594
PVG
68.6% 0.935
0.793
(0.19) (0.07)
0.355 0.757
SZX
64.1% 0.955
1.044
(0.22) (0.08)
0.296 0.785
CAN
94.8% 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.
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