The following portfolios are being considered for investment. During the period under consideration, RFR = 0.07. Portfolio Return Beta P 0.15 1.00 0.05 0.09 0.50 0.03 R 0.21 1.30 0.10 0.18 1.20 0.06 Market 0.12 1.00 0.04 a. Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Sharpe measure P R Market b. Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Treynor measure P R Market c. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings. Portfolio Rank (Sharpe measure) Rank (Treynor measure) P -Select- v |-Select- v -Select- v |-Select- R -Select- v -Select- v -Select- v -Select- v Market -Select- v |-Select- |-Select- v is poorly diversified since it has a high ranking based on the -Select- but a much lower ranking with the -Select-

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
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The following portfolios are being considered for investment. During the period under consideration, RFR = 0.07.
Portfolio
Return
Beta
P
0.15
1.00
0.05
Q
0.09
0.50
0.03
R.
0.21
1.30
0.10
0.18
1.20
0.06
Market
0.12
1.00
0.04
a. Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places.
Portfolio
Sharpe measure
P
Q
R
Market
b. Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places.
Portfolio
Treynor measure
P
Q
R
Market
c. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings.
Portfolio
Rank (Sharpe measure) Rank (Treynor measure)
P
|-Select- v
|-Select- v
Q
-Select- v
-Select- V
R.
-Select- V
-Select- v
-Select- v
-Select- v
Market
-Select- v
-Select- v
-Select-
v is poorly diversified since it has a high ranking based on the -Select-
but a much lower ranking with the -Select-
Transcribed Image Text:The following portfolios are being considered for investment. During the period under consideration, RFR = 0.07. Portfolio Return Beta P 0.15 1.00 0.05 Q 0.09 0.50 0.03 R. 0.21 1.30 0.10 0.18 1.20 0.06 Market 0.12 1.00 0.04 a. Compute the Sharpe measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Sharpe measure P Q R Market b. Compute the Treynor measure for each portfolio and the market portfolio. Round your answers to three decimal places. Portfolio Treynor measure P Q R Market c. Rank the portfolios using each measure, explaining the cause for any differences you find in the rankings. Portfolio Rank (Sharpe measure) Rank (Treynor measure) P |-Select- v |-Select- v Q -Select- v -Select- V R. -Select- V -Select- v -Select- v -Select- v Market -Select- v -Select- v -Select- v is poorly diversified since it has a high ranking based on the -Select- but a much lower ranking with the -Select-
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