Question

The​ risk-free rate is currently 8.2%. Use the data in the accompanying table for the Fio​ family's portfolio and the market portfolio during the year just ended to answer the questions that follow.

Data Item

(Fios' Portfolio) (Market Portfolio)

Rate of return (13.1%) (11.2%)

Standard deviation of return (12.9%) (10.3%)

Beta (0.88) (1.00)

A.

The​ Sharpe's measure for the Fio portfolio is (blank) ?

The​ Sharpe's measure for the market portfolio is (blank) ?

Based on the computed​ Sharpe's measures, the Fio​ portfolio's performance is (superior or inferior) to the markets performance

B.

The​ Treynor's measure for the Fio portfolio is (blank%) ?

The​ Treynors's measure for the market portfolio is (blank%) ?

Based on the computed​ Treynor's measures, the Fio​ portfolio's performance is (superior or inferior) to the markets performance

C.

The​ Jensen's measure for the Fio portfolio is (blank%) ?

Based on the computed​ Jensen's measures, the Fio​ portfolio's performance is (outperforms or under performs) the markets performance

D.

On the basis of your findings in parts ​a, b, and ​c, the Fio portfolio (underperformed or outperformed) the market during the year just ended.

Answer 1