The market portfolio has an expected excess return of 6 % and and a standard deviation of

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The market portfolio has an expected excess return of

6 %

and and a standard deviation of

15 % .

Asset A sits above the SML and has an expected excess return of

10 %

inclusive of alpha of

2 %,

and an R

2

against the market portfolio excess return of

0.50 .

What is Asset A

'

s Sharpe ratio,Treynor Measure and Information ratio?

Enter your answer to

3

decimal places eg if your answer is

0.4579

enter as

0.458 .

Posted Date: May 18, 2024 04:12 PM

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The market portfolio has an expected excess return of 6 % and and a standard deviation of

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