Essentials Of Investments
Essentials Of Investments
11th Edition
ISBN: 9781260013924
Author: Bodie, Zvi, Kane, Alex, MARCUS, Alan J.
Publisher: Mcgraw-hill Education,
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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
Op
14.0%
31%
13.0
26
7.0
14
19
0
10.2
6.0
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
X
Sharpe Ratio
Treynor Ratio
Jensen's Alpha
%
Y
%
Z
%
Market
%
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Transcribed Image Text: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 Op 14.0% 31% 13.0 26 7.0 14 19 0 10.2 6.0 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 X Sharpe Ratio Treynor Ratio Jensen's Alpha % Y % Z % Market %
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