Question

# You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:...

You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:

 Portfolio RP σP βP X 14.0 % 39 % 1.50 Y 13.0 34 1.15 Z 8.5 24 0.90 Market 12.0 29 1.00 Risk-free 7.2 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: = (RP-Rf)/SD of the portfolio. Portfolio X = (14%-7.2%)/39% = 0.17436 Portfolio Y = (13%-7.2%)/34% = 0.17059 Portfolio Z = (8.5%-7.2%)/24% = 0.05417 TREYNOR RATIO: = (RP-Rf)/Beta of the portfolio. Portfolio X = (14%-7.2%)/1.5 = 0.04533 Portfolio Y = (13%-7.2%)/1.15 = 0.05043 Portfolio Z = (8.5%-7.2%)/0.90 = 0.01444 JENSEN'S ALPHA: = Portfolio Return − [Risk Free Rate + Portfolio Beta * (Market Return − Risk Free Rate)] Portfolio X = 14.0% -((7.2%+1.5*(12%-7.2%)) = -0.40% Portfolio X = 13.0% -((7.2%+1.15*(12%-7.2%)) = 0.28% Portfolio X = 8.5% -((7.2%+0.9*(12%-7.2%)) = -3.02%