You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio 2 Market Risk-free Portfolio X Rp 14.5% 13.5 8.4 Y Z Market 11.6 6.0 Op 35% 30 20 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 "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. Sharpe Ratio 25 0 Bp 1.30 1.25 0.90 1.00 0 Treynor Ratio Jensen's Alpha % % % %
You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio 2 Market Risk-free Portfolio X Rp 14.5% 13.5 8.4 Y Z Market 11.6 6.0 Op 35% 30 20 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 "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. Sharpe Ratio 25 0 Bp 1.30 1.25 0.90 1.00 0 Treynor Ratio Jensen's Alpha % % % %
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
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