Chee Chew's portfolio has a beta of 1.27 and earned a return of 13.6% during the year just ended. The risk-free rate is currently 4.6%. The return on the marketportfolio during the year just ended was 10.5%.a. Calculate Jensen's measure (Jensen's alpha) for Chee's portfolio for the year just ended.b. Compare the performance of Chee's portfolio found in part a to that of Carri Uhl's portfolio, which has a Jensen's measure of -0.25. Which portfolioperformed better? Explain.c. Use your findings in part a to discuss the performance of Chee's portfolio during the period just ended.

Jensen's Alpha is a risk-adjusted performance measure that represents the average return on a…

Answered: Chee Chew's portfolio has a beta of…

Corporate Fin Focused Approach

5th Edition

ISBN:9781285660516

Author:EHRHARDT

Publisher:EHRHARDT

Chapter6: Risk And Return

Section: Chapter Questions

Problem 14P

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Chee Chew's portfolio has a beta of 1.25 and earned a return of 13.6% during the year just ended. The risk-free rate is currently 3.9%. The return on the market portfolio during the year just ended was 10.7%. a. Calculate Jensen's measure (Jensen's alpha) for Chee's portfolio for the year just ended. b. Compare the performance of Chee's portfolio found in part a to that of Carri Uhl's portfolio, which has a Jensen's measure of -0.19. Which portfolio performed better? Explain. c. Use your findings in part a to discuss the performance of Chee's portfolio during the period just ended. a. The Jensen's measure (Jensen's alpha) for Chee's portfolio is (Round to two decimal places.) (…)
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During the year just ended, Anna Schultz's portfolio, which has a beta of 0.96, earned a return of 8.2%. The risk-free rate is currently 3.6%, and the return on the market portfolio during the year just ended was 8.9%. a. Calculate Treynor's measure for Anna's portfolio for the year just ended. b. Compare the performance of Anna's portfolio found in part a to that of Stacey Quant's portfolio, which has a Treynor's measure of 1.25%. Which portfolio performed better? Explain. c. Calculate Treynor's measure for the market portfolio for the year just ended. d. Use your findings in parts a and c to discuss the performance of Anna's portfolio relative to the market during the year just ended. a. The Treynor's measure for Anna's portfolio is ☐ %. (Round to two decimal places.)
During the year just ended, Anna Schultz's portfolio, which has a beta of 0.97, earned a return of 8.3%. The risk-free rate is currently 4.1%, and the return on the market portfolio during the year just ended was 8.9%. a. Calculate Treynor's measure for Anna's portfolio for the year just ended. b. Compare the performance of Anna's portfolio found in part a to that of Stacey Quant's portfolio, which has a Treynor's measure of 1.29%. Which portfolio performed better? Explain. c. Calculate Treynor's measure for the market portfolio for the year just ended. d. Use your findings in parts a and c to discuss the performance of Anna's portfolio relative to the market during the year just ended. a. The Treynor's measure for Anna's portfolio is %. (Round to two decimal places.) b. Anna's portfolio outperformed Stacy's with a TM of V% versus one of 1.29%. (Select from the drop-down menus.) c. The Treynor's measure for the market portfolio is %. (Round to two decimal places.) d. The market V…
During the year just ended, Anna Schultz's portfolio, which has a beta of 0.91, earned a return of 8.1%. The risk-free rate is currently 4.1%, and the return on the market portfolio during the year just ended was 9.4%. a. Calculate Treynor's measure for Anna's portfolio for the year just ended. b. Compare the performance of Anna's portfolio found in part a to that of Stacey Quant's portfolio, which has a Treynor's measure of 1.39%. Which portfolio performed better? Explain. c. Calculate Treynor's measure for the market portfolio for the year just ended. d. Use your findings in parts a and c to discuss the performance of Anna's portfolio relative to the market during the year just ended.
Using the data in the following table, LOADING... , consider a portfolio that maintains a 75% weight on stock A and a 25% weight on stock B. a. What is the return each year of this portfolio? b. Based on your results from part (a), compute the average return and volatility of the portfolio. c. Show that (i) the average return of the portfolio is equal to the (weighted) average of the average returns of the two stocks, and (ii) the volatility of the portfolio equals the same result as from the calculation in Eq. 11.9. d. Explain why the portfolio has a lower volatility than the average volatility of the two stocks. Question content area bottom Part 1 a. What is the return each year of this portfolio? Enter the return of this portfolio for each year in the table below: (Round to two decimal places.) Year 2010 2011 2012 2013 2014 2015 Portfolio enter your response here% enter your response here% enter your response…
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Using the data in the following table, consider a portfolio that maintains a 60% weight on stock A and a 40% weight on stock B. a. What is the return each year of this portfolio? b. Based on your results from part (a), compute the average return and volatility of the portfolio. c. Show that (i) the average return of the portfolio is equal to the (weighted) average of the average returns of the two stocks, and (ii) the volatility of the portfolio equals the same result as from the calculation in Eq. 11.9. d. Explain why the portfolio has a lower volatility than the average volatility of the two stocks. a. What is the return each year of this portfolio? Enter the return of this portfolio for each year in the table below: (Round to two decimal places.) Year 2012 Portfolio % 2010 % 2011 % b. Based on your results from part (a), compute the average return and volatility of the portfolio. The average return of the portfolio is%. (Round to two decimal places.) 2013 % 2014 % 2015 % The…
A manager's portfolio generated a return of 11.3% over the past year. The portfolio's beta was 1.16 and the return standard deviation was 15.7%. The market return was 9.8%, its return standard deviation was 13.4%, and the risk-free rate was 3.7%. What are the portfolio's Sharpe ratio, Treynor ratio, and Jensen's alpha?
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Using the data in the following table,, consider a portfolio that maintains a 50% weight on stock A and a 50% weight on stock B a. What is the return each year of this portfolio? b. Based on your results from part (a), compute the average return and volatility of the portfolio. c. Show that (i) the average return of the portfolio is equal to the (weighted) average of the average returns of the two stocks, and (ii) the volatility of the portfolio equals the same result as from the calculation in Eq. 11.8. d. Explain why the portfolio has a lower volatility than the average volatility of the two stocks. a. What is the return each year of this portfolio? Enter the return of this portfolio for each year in the table below (Round to two decimal places.) Year Portfolio Data table 2010 % 2011 % 2012 % 2013 % (Click on the following icon in order to copy its contents into a spreadsheet.) 2014 2015 %1 1% Year 2010 2011 2012 2013 2014 2015 Stock A -10% 20% 5% 5% 2% 9% Stock B 21% 7% 30% -3% 8%…
A portfolio consists of 70% of investment A and 30% of investment B. The expected returnon investment A is 7% and the expected return on investment B is 9%. The standarddeviation of returns of investment A is 2.19%. The standard deviation of returns ofinvestment B is 4.1%. The correlation coefficient of the returns of investment A andinvestment B=+1. Finda. the expected return from the portfoliob. the standard deviation (risk) of the returns from the portfolio

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