Example: Consider the following data for a particular sample period: Portfolio P Market M Average return 35% 28% Beta 1.20 1.00 Standard deviation 42% 30% Nonsystematic risk, σ(e) 18% 0 The T-bill rate during the period was 6%. A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio B) Compare and comment on results of each measure.
Example: Consider the following data for a particular sample period: Portfolio P Market M Average return 35% 28% Beta 1.20 1.00 Standard deviation 42% 30% Nonsystematic risk, σ(e) 18% 0 The T-bill rate during the period was 6%. A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio B) Compare and comment on results of each measure.
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
Section: Chapter Questions
Problem 1PS
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Example: Consider the following data for a particular sample period:
|
|
Portfolio P |
Market M |
|
Average return |
35% |
28% |
|
Beta |
1.20 |
1.00 |
|
Standard deviation |
42% |
30% |
|
Nonsystematic risk, σ(e) |
18% |
0 |
The T-bill rate during the period was 6%.
A) Calculate the market and portfolio returns using sharpe's measure, treynor's measure, jensen's measure and information ratio
B) Compare and comment on results of each measure.
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