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.
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Chapter1: Investments: Background And Issues
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You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset:
Portfolio
Z
Market
Risk-free
Rp
14.5%
13.5
Portfolio
X
Y
Z
Market
8.4
11.6
6.0
Op
35%
30
Sharpe Ratio
20
25
e
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.
Bp
1.30
1.25
Treynor Ratio
0.90
1.00
0
Jensen's Alpha
%
%
%
%
Transcribed Image Text:You are given the following information concerning three portfolios, the market portfolio, and the risk-free asset: Portfolio Z Market Risk-free Rp 14.5% 13.5 Portfolio X Y Z Market 8.4 11.6 6.0 Op 35% 30 Sharpe Ratio 20 25 e 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. Bp 1.30 1.25 Treynor Ratio 0.90 1.00 0 Jensen's Alpha % % % %
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