Question

Use the information below to compare the performance of your
portfolio P with that of the stock market: Calculate the Sharpe
ratio, the Treynor ratio, the ? (Alpha), and the M^{2} of
your portfolio P. Recall that the Alpha of your portfolio is the
difference between the expected return of your portfolio
(calculated using the CAPM model) and its actual return.

Portfolio (P) Stock Market (M) T-bills

Return 10% 8% 0.5%

STD (returns) 20% 12% 0

?eta 0.8 1

PLEASE SHOW WORK

Answer #1

sharpe ratio |
(expected return-risk free rate)/ standard deviation of stock |
(10%-.5%)/20% |
0.475 |

Treynor ratio |
(expected return-risk free rate)/ standard deviation of stock |
(10%-.5%)/.8 |
0.11875 |

Alpha of stock |
expected return-required return |
10%-6.5% |
3.500% |

M2 of portfolio |
(sharpe ratio*standard deviation of market )+risk free rate |
(.475*12%)+.5% |
0.062 |

required return on stock |
risk free rate+(market return-risk free return)*beta |
.5%+(8%-.5%)*.8 |
6.500% |

Table 1: ABC Managed Fund Performance
Table 1: ABC Managed Fund
Performance
ABC
S&P
Index
T-bills
Mean
13.0%
12.0%
7.6%
Standard deviation
12.4%
9.4%
0.5%
Cov(ABC, S&P I)
0.0107
Calculate the Sharpe ratio for the fund and the market
portfolio.
Calculate the Treynor ratio for the fund and the market
portfolio. show working out

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

Please use the following information on the portfolio and its
benchmark (S&P 500 index) to calculate
Portfolio
S&P 500
Average Annual Return
12%
10%
Standard Deviation
18%
15%
Beta
1.2
1
Risk-free rate =
2%
Sharpe ratio for the portfolio and S&P 500 index
Treynor ratio for the portfolio and S&P 500 index
Jensen’s alpha based on Capital Asset Pricing Model.

A portfolio manager summarizes the input from the macro and
micro forecasts in the following table:
Micro Forecasts
Asset
Expected Return
(%)
Beta
Residual Standard
Deviation (%)
Stock A
18
2.00
50
Stock B
16
3.00
50
Macro Forecasts
Asset
Expected Return
(%)
Standard Deviation
(%)
T-bills
4
0
Passive Equity Portfolio
(m)
14
20
a. Calculate expected excess returns, alpha
values, and residual variances for these stocks.
Instruction: Enter your answer as a percentage (rounded
to two decimal places)...

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

1.Use the following information to answer the question(s)
below.
Suppose that the market portfolio is equally likely to increase
by 24% or decrease by 8%. Security "X" goes up on average by 29%
when the market goes up and goes down by 11% when the market goes
down. Security "Y" goes down on average by 16% when the market goes
up and goes up by 16% when the market goes down. Security "Z" goes
up on average by 4% when...

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...

given a sharpe ratio for the market portfolio of 0.4 . calculate
the expected return on stock with astardard deviation return of 0.5
and acorrelation with the market portfolio return of 0.6.the risk
free rate is 5% and the stardard deviation of the market portfolio
returns is 0.25

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