Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free rate return 2.464 3.360 0.090 2 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 6 7 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 11 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.003 2.250 0.150 -4.723 6.639 0.210 2.383 4.874 0.210
Data are given as follows: (all the values are in percent) Month Average portfolio return market Average Average risk-free rate return 2.464 3.360 0.090 2 16.130 2.348 0.090 0.771 -1.484 0.120 -6.386 -2.437 0.120 15 -2.861 1.965 0.090 6 7 -7.673 2.806 0.120 0.805 -5.721 0.150 -0.372 0.327 0.150 1.508 2.464 0.150 10 11 12 Calculate Treynor measure, Sharpe ratio, tracking error, information ratio, and hit ratio. Then, evaluate the performance of this portfolio. 2.003 2.250 0.150 -4.723 6.639 0.210 2.383 4.874 0.210
Century 21 Accounting Multicolumn Journal
11th Edition
ISBN:9781337679503
Author:Gilbertson
Publisher:Gilbertson
Chapter17: Financial Statement Analysis
Section: Chapter Questions
Problem 1AP
Related questions
Question
![Data are given as follows: (all the values are in
percent)
Month
Average
portfolio return market
Average Average
risk-free
return
rate
2.464
3.360
0.090
16.130
2.348
0.090
0.771
-1.484
0.120
-6.386
-2.437
0.120
15
-2.861
1.965
0.090
16
-7.673
2.806
0.120
0.805
-5.721
0.150
-0.372
0.327
0.150
1.508
2.464
0.150
10
2.003
2.250
0.150
11
-4.723
6.639
0.210
12
Calculate Treynor measure, Sharpe ratio,
tracking error, information ratio, and hit ratio.
Then, evaluate the performance of this
portfolio.
2.383
4.874
0.210](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F0d65050f-82f5-4814-89f6-74d0219eca30%2Fe04c8121-5b13-4974-bebf-0f51b58380b9%2Fitprbmv_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Data are given as follows: (all the values are in
percent)
Month
Average
portfolio return market
Average Average
risk-free
return
rate
2.464
3.360
0.090
16.130
2.348
0.090
0.771
-1.484
0.120
-6.386
-2.437
0.120
15
-2.861
1.965
0.090
16
-7.673
2.806
0.120
0.805
-5.721
0.150
-0.372
0.327
0.150
1.508
2.464
0.150
10
2.003
2.250
0.150
11
-4.723
6.639
0.210
12
Calculate Treynor measure, Sharpe ratio,
tracking error, information ratio, and hit ratio.
Then, evaluate the performance of this
portfolio.
2.383
4.874
0.210
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