Mr. Aggarwal has been managing the portfolios of a large mutual fund for the last two years.
Question:
Mr. Aggarwal has been managing the portfolios of a large mutual fund for the last two years. The individual details are as follows: Portfolio A Actual return earned = 50% Standard deviation of returns = 25% Return generated by the market = 30% Risk-free rate of return = 10% Portfolio Beta = 1.40 Portfolio B Actual Return earned = 45% Standard deviation of returns = 28% Return generated by the market = 30% Risk-free rate of return = 10% Portfolio Beta = 2 .
Based on the above information, answer the following.
a. What is the risk premium earned/available on Portfolio A & B?
b. What is the Sharpe Ratio and the Treynor's Ratio for the two portfolios?
C. Based on your calculations in (a) & (b) above which do you think is a better Portfolio & why?
Income Tax Fundamentals 2013
ISBN: 9781285586618
31st Edition
Authors: Gerald E. Whittenburg, Martha Altus Buller, Steven L Gill