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 |
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 intermediate calculations. Round your ratio
answers to 5 decimal places. Enter your alpha answers as a percent
rounded to 2 decimal places.)**

Answer #1

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...

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.
What is the information ratio for Portfolio X?
What are the...

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
decimal places.)
Sharpe...

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

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 –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
and Treynor ratios for the fund? (Do not round intermediate
calculations. Round your answers to 4 decimal places.) Sharpe...

You have been given the following return 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
0.97.
Year
Fund
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
What are the Sharpe and Treynor ratios for the fund? (Do
not round intermediate calculations. Round your answers to...

You have been given the following return 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
2015
−16.4
%
−32.5
%
3
%
2016
25.1
20.3
4
2017
13.2
11.8
2
2018
6.2
8.0
5
2019
−1.68
−3.2
3
What are the Sharpe and Treynor ratios for the fund?
Sharpe ratio
Treynor ratio

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