Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years.  Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.)   Period Return 2021     -51.0% 2020     43.0% 2019     61.0% 2018      -5.0% 2017    -19.0%   In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data.   Beta               = 2.3 Risk-free rate = 1% Expected Market Return = 8%

Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
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Below are the annual returns provided by TSCM. Calculate average annual return experienced by an investor over the last five years. 

Calculate the standard deviation of the portfolio return over this period. (See sheet "TSCM" in the attached Excel.)

 

Period Return

2021     -51.0%

2020     43.0%

2019     61.0%

2018      -5.0%

2017    -19.0%

 

In the year 2022, TSCM return is 21%. Calculate TSCM's Jensen's Alpha for the year period in annual terms. Use the below data.

 

Beta               = 2.3

Risk-free rate = 1%

Expected Market Return = 8%

 

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