The risk-free rate is currently 8.4%. Use the data in the accompanying table for the Fio family's portfolio and the market portfolio during the year just ended to answer the questions that follow (Click on the icon here in order to copy the contents of the data table below into a spreadsheet.) Data Item Rate of return Standard deviation of return Beta Fios' Portfolio 12.9% 13.3% 1.17 Market Portfolio 10.6% 10.3% 1.00 a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios portfolio during the year just ended. b. Calculate Treynor's measure for the portfolio and the market. Compare the two, and assess the performance of the Fios portfolio during the year just ended. c. Calculate Jensen's measure (Jensen's alpha). Use it to assess the performance of the Fios portfolio during the year just ended. d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios portfolio during the year just ended. a. The Sharpe's measure for the Fio portfolio is (Round to two decimal places.)
The risk-free rate is currently 8.4%. Use the data in the accompanying table for the Fio family's portfolio and the market portfolio during the year just ended to answer the questions that follow (Click on the icon here in order to copy the contents of the data table below into a spreadsheet.) Data Item Rate of return Standard deviation of return Beta Fios' Portfolio 12.9% 13.3% 1.17 Market Portfolio 10.6% 10.3% 1.00 a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios portfolio during the year just ended. b. Calculate Treynor's measure for the portfolio and the market. Compare the two, and assess the performance of the Fios portfolio during the year just ended. c. Calculate Jensen's measure (Jensen's alpha). Use it to assess the performance of the Fios portfolio during the year just ended. d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios portfolio during the year just ended. a. The Sharpe's measure for the Fio portfolio is (Round to two decimal places.)
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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Transcribed Image Text:The risk-free rate is currently 8.4%. Use the data in the accompanying table for the Fio family's portfolio and the market portfolio during the year just ended to answer the questions that follow. (Click on the icon here in order to copy the contents of the data table
below into a spreadsheet.)
Data Item
Rate of return
Standard deviation of return
Beta
Fios' Portfolio
12.9%
13.3%
1.17
a. The Sharpe's measure for the Fio portfolio is
Market Portfolio
10.6%
10.3%
1.00
a. Calculate Sharpe's measure for the portfolio and the market. Compare the two measures, and assess the performance of the Fios' portfolio during the year just ended.
b. Calculate Treynor's measure for the portfolio and the market. Compare the two, and assess the performance of the Fios' portfolio during the year just ended.
c. Calculate Jensen's measure (Jensen's alpha). Use it to assess the performance of the Fios' portfolio during the year just ended.
d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios' portfolio during the year just ended.
(Round to two decimal places.)
C
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