Question 2 Consider the following information in Table 2 about a representative index of the market...
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Question 2 Consider the following information in Table 2 about a representative index of the market (M) and about an actively managed portfolio (P): Table 2 Actively Managed Portfolio P Average return Beta Standard Deviation 24% 2.80 28% T- Bill (average during the period) Market M 12% 1.00 23% 3% a) Calculate the Sharpe ratio and the Treynor ratio for the portfolio P and the Market (M). Explain your answer. [5 marks] b) How do you evaluate the performance of the actively managed portfolio P versus the Market (M)? Explain your answer. [10 marks] Question 2 Consider the following information in Table 2 about a representative index of the market (M) and about an actively managed portfolio (P): Table 2 Actively Managed Portfolio P Average return Beta Standard Deviation 24% 2.80 28% T- Bill (average during the period) Market M 12% 1.00 23% 3% a) Calculate the Sharpe ratio and the Treynor ratio for the portfolio P and the Market (M). Explain your answer. [5 marks] b) How do you evaluate the performance of the actively managed portfolio P versus the Market (M)? Explain your answer. [10 marks]
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Managerial Accounting A Focus on Ethical Decision Making
ISBN: 978-0324663853
5th edition
Authors: Steve Jackson, Roby Sawyers, Greg Jenkins
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