Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Standard Deviation 4% Portfolio Risk Free Rate Return 12.5% Beta 1.2 1.2 3% 10% 5% 4% E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for cach portfolio.

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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Q .1 What is the Sharpe measure of:
i. Portfolio A?
ii. Portfolio C?
iii. Portfolio E?

Q.2 What is the Treynor measure of:
i. Portfolio A?
ii. Portfolio C?
iii. Portfolio E? 

 

Big Rock has several investment portfolios with a local mutual fund company. One of the
company's directors asked you to assess the performance of five of the portfolios.
Portfolio
Return
Beta
Standard Deviation
Risk Free Rate
A
12.5%
1.2
4%
3%
C
10%
1.2
5%
4%
E
3%
0.8
6%
6%
Required: Calculate the Sharpe measure and the Treynor measure for each portfolio.
Transcribed Image Text:Big Rock has several investment portfolios with a local mutual fund company. One of the company's directors asked you to assess the performance of five of the portfolios. Portfolio Return Beta Standard Deviation Risk Free Rate A 12.5% 1.2 4% 3% C 10% 1.2 5% 4% E 3% 0.8 6% 6% Required: Calculate the Sharpe measure and the Treynor measure for each portfolio.
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