Problem 13-3 Performance Evaluation (LO1, CFA5) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.0% бр 39% 13.0 34 8.5 24 12.0 7.2 29 0 Bp 1.50 1.15 0.90 1.00 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" 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. Portfolio X Sharpe Ratio Treynor Ratio Jensen's Alpha % Y % Z % Market %
Problem 13-3 Performance Evaluation (LO1, CFA5) You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio X Y Z Market Risk-free Rp 14.0% бр 39% 13.0 34 8.5 24 12.0 7.2 29 0 Bp 1.50 1.15 0.90 1.00 0 What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio? Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" 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. Portfolio X Sharpe Ratio Treynor Ratio Jensen's Alpha % Y % Z % Market %
Essentials Of Investments
11th Edition
ISBN:9781260013924
Author:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Chapter1: Investments: Background And Issues
Section: Chapter Questions
Problem 1PS
Related questions
Question
Nikul
![Problem 13-3 Performance Evaluation (LO1, CFA5)
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
X
Y
Z
Market
Risk-free
Rp
14.0%
бр
39%
13.0
34
8.5
24
12.0
7.2
29
0
Bp
1.50
1.15
0.90
1.00
0
What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" 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.
Portfolio
X
Sharpe Ratio
Treynor Ratio
Jensen's Alpha
%
Y
%
Z
%
Market
%](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F9c242d0a-96d8-406a-9b9f-4c7934eef64f%2Fcd956599-f275-481e-b368-7f9e4d5c0f6f%2Fbmphqw_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Problem 13-3 Performance Evaluation (LO1, CFA5)
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
X
Y
Z
Market
Risk-free
Rp
14.0%
бр
39%
13.0
34
8.5
24
12.0
7.2
29
0
Bp
1.50
1.15
0.90
1.00
0
What are the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio?
Note: A negative value should be indicated by a minus sign. Leave no cells blank - be certain to enter "O" 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.
Portfolio
X
Sharpe Ratio
Treynor Ratio
Jensen's Alpha
%
Y
%
Z
%
Market
%
Expert Solution
![](/static/compass_v2/shared-icons/check-mark.png)
This question has been solved!
Explore an expertly crafted, step-by-step solution for a thorough understanding of key concepts.
Step by step
Solved in 2 steps
![Blurred answer](/static/compass_v2/solution-images/blurred-answer.jpg)
Recommended textbooks for you
![Essentials Of Investments](https://compass-isbn-assets.s3.amazonaws.com/isbn_cover_images/9781260013924/9781260013924_smallCoverImage.jpg)
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
![FUNDAMENTALS OF CORPORATE FINANCE](https://www.bartleby.com/isbn_cover_images/9781260013962/9781260013962_smallCoverImage.gif)
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)
![Essentials Of Investments](https://compass-isbn-assets.s3.amazonaws.com/isbn_cover_images/9781260013924/9781260013924_smallCoverImage.jpg)
Essentials Of Investments
Finance
ISBN:
9781260013924
Author:
Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher:
Mcgraw-hill Education,
![FUNDAMENTALS OF CORPORATE FINANCE](https://www.bartleby.com/isbn_cover_images/9781260013962/9781260013962_smallCoverImage.gif)
![Financial Management: Theory & Practice](https://www.bartleby.com/isbn_cover_images/9781337909730/9781337909730_smallCoverImage.gif)
![Foundations Of Finance](https://www.bartleby.com/isbn_cover_images/9780134897264/9780134897264_smallCoverImage.gif)
Foundations Of Finance
Finance
ISBN:
9780134897264
Author:
KEOWN, Arthur J., Martin, John D., PETTY, J. William
Publisher:
Pearson,
![Fundamentals of Financial Management (MindTap Cou…](https://www.bartleby.com/isbn_cover_images/9781337395250/9781337395250_smallCoverImage.gif)
Fundamentals of Financial Management (MindTap Cou…
Finance
ISBN:
9781337395250
Author:
Eugene F. Brigham, Joel F. Houston
Publisher:
Cengage Learning
![Corporate Finance (The Mcgraw-hill/Irwin Series i…](https://www.bartleby.com/isbn_cover_images/9780077861759/9780077861759_smallCoverImage.gif)
Corporate Finance (The Mcgraw-hill/Irwin Series i…
Finance
ISBN:
9780077861759
Author:
Stephen A. Ross Franco Modigliani Professor of Financial Economics Professor, Randolph W Westerfield Robert R. Dockson Deans Chair in Bus. Admin., Jeffrey Jaffe, Bradford D Jordan Professor
Publisher:
McGraw-Hill Education