You are given the following data for four portfolios over a recent 10-year period: a) b) c) d) Portfolio 1 2 3 4 Risk Free Market Annual Return % Standard Deviation % 10 15 12 17 6 13 Rank these portfolios using the Sharpe Measure. Rank these portfolios using the Treynor Measure. Rank these portfolios using the Jensen Measure 9 12 10 14 11 Explain any differences that you observe in the rankings. Portfolio Beta 1.15 1.20 1.50 1.45

You are given the following data for four portfolios over a recent 10-year period: a) b) c) d) Portfolio 1 2 3 4 Risk Free Market Annual Return % Standard Deviation % 10 15 12 17 6 13 Rank these portfolios using the Sharpe Measure. Rank these portfolios using the Treynor Measure. Rank these portfolios using the Jensen Measure 9 12 10 14 11 Explain any differences that you observe in the rankings. Portfolio Beta 1.15 1.20 1.50 1.45

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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Compute the (a) expected return, (b) standard deviation, and (c) coefficient of variation for investments with the following probability distributions: (LO 8-2) Probability rA rB 0.3 30.0% 5.0% 0.2 10.0 15.0 0.5 - 2.0 25.0
Consider following information on a risky portfolio, risk-free asset and the market index. What is the Sharpe ratio of the market index? Risky portfolio Risk-free asset Market index Average return 8.2% 2% 6% Std. Dev. 26% 20% Residual std. dev. 10% Alpha 1.4% Beta 1.2
please this part of the question ASAP too What is the standard deviation of the rate of return on your client's portfolio? (Round your intermediate calculations and final answer to 1 decimal place.)
Consider the following information on a portfolio of three stocks: State of Economy Probability of State of Economy Stock A Rate of Return Stock B Rate of Return Stock C Rate of Return Boom.13.02.32.50 Normal.55.10.22.20 Bust .32.16.21.35 If your portfolio is invested 40 percent each in A and B and 20 percent in C, what is the portfolio's expected return, the variance, and the standard deviation? Note: Do not round intermediate calculations. Round your variance answer to 5 decimal places, e.g., 16161. Enter your other answers as a percent rounded to 2 decimal places, e. g., 32.16. If the expected T-bill rate is 4.25 percent, what is the expected risk premium on the portfolio? Note: Do not round intermediate calculations and enter your answer as a percent rounded to 2 decimal places, e. g., 32.16.
Consider the following two assets: Asset Expected return Standard deviation of returns 1 18% 30% 2 8% 10% The returns on the two assets are perfectly negatively correlated (i.e. coefficient of -1). Calculate the proportions of assets 1 and 2 that generate a portfolio with a standard deviation of zero. What is the expected return of that portfolio Calculate the expected returns and standard deviations of three other portfolios with weightingsof your choice. Present a graph of your results.
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp X 15.0% Y 14.0 Z 9.0 Market 10.3 Risk-free 4.2 op 32% 27 17 22 0 Portfolio X Y Z Market 6p 1.40 1.10 0.75 1.00 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Leave your ratio answers as a decimal rounded to 5 places (e.g., 0.23546). Enter your alpha answers as a percent rounded to 2 decimal places (e.g., 0.22%).) Sharpe Ratio Treynor Ratio Jensen's Alpha % % % %
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Rp op Bp X 14.0% 31% 1.35 Y 13.0 26 1.10 Z 7.0 14 .75 Market 10.2 19 1.00 Risk-free 6.0 0 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? (A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "0" wherever required. Do not round intermediate calculations. Round your ratio answers to 5 decimal places. Enter your alpha answers as a percent rounded to 2 decimal places.) Sharpe Ratio Treynor Ratio Jensen's Alpha Portfolio X % Y % Z % Market %
Sangita
According the picture, Find:a) the expected return and standard deviation on this portfolio. b) the expected return on the market using portfolio beta if Rf=5%.

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