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% Op 31% 13.0 26 7.0 14 10.2 6.0 19 0 Вр 1.35 1.10 0.75 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 Sharpe Ratio Treynor Ratio Jensen's Alpha X % Y % Z % Market %
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% Op 31% 13.0 26 7.0 14 10.2 6.0 19 0 Вр 1.35 1.10 0.75 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 Sharpe Ratio Treynor Ratio Jensen's Alpha X % Y % Z % Market %
Chapter8: Analysis Of Risk And Return
Section: Chapter Questions
Problem 13QTD
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