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Use the information provided in the table below to answer the questions that follows. (1) Average return Beta (ii) Standard deviation T-bill Portfolio X 35 % 1.2 42% 6% Calculate each of the following performance measures for the above portfolio and market: Sharpe ratio Treynor ratio Jensen's alpha Market Y 28% 1.00 30 % 6% Interpret and compare the result obtained for Sharpe ratio against Treynor ratio.

Use the information provided in the table below to answer the questions that follows. (1) Average return Beta (ii) Standard deviation T-bill Portfolio X 35 % 1.2 42% 6% Calculate each of the following performance measures for the above portfolio and market: Sharpe ratio Treynor ratio Jensen's alpha Market Y 28% 1.00 30 % 6% Interpret and compare the result obtained for Sharpe ratio against Treynor ratio.

Essentials Of Investments
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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Use the information provided in the table below to answer the questions that follows. Average return Beta (ii) Standard deviation T-bill Portfolio X 35% 1.2 42% 6% Calculate each of the following performance measures for the above portfolio and market: Sharpe ratio Treynor ratio Jensen's alpha Market Y 28 % 1.00 30% 6% Interpret and compare the result obtained for Sharpe ratio against Treynor ratio.
Transcribed Image Text:Use the information provided in the table below to answer the questions that follows. Average return Beta (ii) Standard deviation T-bill Portfolio X 35% 1.2 42% 6% Calculate each of the following performance measures for the above portfolio and market: Sharpe ratio Treynor ratio Jensen's alpha Market Y 28 % 1.00 30% 6% Interpret and compare the result obtained for Sharpe ratio against Treynor ratio.
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For Jensen's alpha, only portfolio X should be calculated? that is, 55.4%??

there is some part missing in your answers for Jensen's alpha

thanks for the help 

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