Consider the following data for a particular sample period when returns were high. Portfolio P - Average
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Question:
Consider the following data for a particular sample period when returns were high.
Portfolio P - Average return 35%, beta 1.2 and standard deviation 42%
Market M - average return 28%, beta 1.0 and standard deviation 30%
Required
A. Calculate Jensen Alpha, Sharpe ratio and Treynor measures.
B. By which measure did portfolio P outperform the market.
C. By the result of the Jensen alpha would you consider the portfolio manager to be a passive or an active manager? Discuss?
Related Book For
Fundamentals of Financial Management
ISBN: 978-1305635937
Concise 9th Edition
Authors: Eugene F. Brigham
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