Consider the two (excess return) index-model regression results for stocks A and B. The risk- free rate over the period was 6%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. (look at the attached image) Calculate: a. Jensen’s alpha. b. Sharpe measure. c. Treynor measure.

Consider the two (excess return) index-model regression results for stocks A and B. The risk- free rate over the period was 6%, and the market's average return was 14%. Performance is measured using an index model regression on excess returns. (look at the attached image) Calculate: a. Jensen’s alpha. b. Sharpe measure. c. Treynor measure.

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

Stock A
Stock B
Index model regression estimates
0.01 + 1.2(Rm-R¢)
0.02 + 0.8(Rm-R¢)
R-squared
Residual standard deviation (oe)
0.576
0.436
10.3%
19.1%
Standard deviation of excess returns
21.6%
24.9%

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