Question

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

Portfolio | R_{P} |
σ_{P} |
β_{P} |
||

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.)**

Answer #1

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% |

You are given the following information concerning three
portfolios, the market portfolio, and the risk-free asset:
Portfolio
RP
σP
βP
X
12.5
%
38
%
1.45
Y
11.5
33
1.15
Z
9.4
23
0.80
Market
11.9
28
1.00
Risk-free
6.2
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...

You are given the following information concerning three
portfolios, the market portfolio, and the risk-free asset:
Portfolio
RP
σP
βP
X
16.0
%
32
%
1.90
Y
15.0
27
1.25
Z
7.3
17
0.75
Market
11.3
22
1.00
Risk-free
5.8
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...

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
11.50
%
38.00
%
1.70
Y
10.50
33.00
1.30
Z
7.20
23.00
0.85
Market
10.90
28.00
1.00
Risk-free
4.60
0
0
Assume that the tracking error of Portfolio X is 7.50 percent.
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What are the...

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Rank

The following table provides information about the portfolio
performance of three investment managers:
Manager
Return
Standard Deviation
Beta
A
25%
22%
2.1
B
21%
19%
1.5
C
15%
10%
0.8
Market (M)
15%
12%
Risk Free Rate = 5%
Complete the following table:
Manager
Expected Return
Sharpe Ratio
Treynor Ratio
Jensen’s Alpha
A
B
C
Rank

The following table provides information about the portfolio
performance of three investment managers:
Manager
Return
Standard Deviation
Beta
A
25%
22%
2.1
B
21%
19%
1.5
C
15%
10%
0.8
Market (M)
15%
12%
Risk Free Rate = 5%
Complete the following table:
Manager
Expected Return
Sharpe Ratio
Treynor Ratio
Jensen’s Alpha
A
B
C
Rank

Consider the following information for a mutual fund, the market
index, and the risk-free rate. You also know that the return
correlation between the fund and the market is .97.
Year
Fund
Market
Risk-Free
2008
–15.2
%
–24.5
%
1
%
2009
25.1
19.5
3
2010
12.4
9.4
2
2011
6.2
7.6
4
2012
–1.2
–2.2
2
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to 4
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index, and the risk-free rate. You also know that the return
correlation between the fund and the market is .97. Year Fund
Market Risk-Free 2008 –18.20 % –35.5 % 2 % 2009 25.1 20.6 5 2010
13.5 12.7 2 2011 6.8 8.4 6 2012 –1.86 –4.2 3 What are the Sharpe
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mutual fund, the market index, and the risk-free rate. You also
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Year
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Market
Risk-Free
2011
–21.2
%
–40.5
%
2
%
2012
25.1
21.1
4
2013
14.0
14.2
2
2014
6.2
8.8
4
2015
–2.16
–5.2
3
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Please use the following information on the portfolio and its
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Portfolio
S&P 500
Average Annual Return
12%
10%
Standard Deviation
18%
15%
Beta
1.2
1
Risk-free rate =
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