Question

Last year your portfolio of small cap stocks produced a return of 32%. The S&P 500...

  1. Last year your portfolio of small cap stocks produced a return of 32%. The S&P 500 had a return of 26% for the same period. Your portfolio had a beta of 2 and a standard deviation of 34%. The S&P had a standard deviation of 22% and the risk free rate was 8.0%.

    1. Calculate the Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha for your portfolio.
    1. Discuss (in depth/be thorough) how your portfolio performed last year.

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