omposite Portfolio Performance Measures 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. a. What is the Sharpe measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?  b. What is the Treynor measure of: i. Portfolio A? ii. Portfolio C? iii. Portfolio E?

Essentials Of Investments
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ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
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Chapter1: Investments: Background And Issues
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Composite Portfolio Performance Measures


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


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

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