Question

The risk-free rate is currently 8.1%. Use the data in the accompanying table for the Fio family’s portfolio and the market portfolio during the year just ended to answer the questions that follow.
a. Calculate Sharpe’s measure for the portfolio and the market. Compare the 2 measures, and assess the performance of the Fios’s portfolio during the year just ended.
b. Calculate Treynor’s measure for the portfolio and the market. Compare the 2 measures, and assess the performance of the Fios’s portfolio during the year just ended.
c. Calculate Jensen’s measure (Jensen’s alpha). Use it to assess the performance of the Fios’s portfolio during the year just ended.
d. On the basis of your findings in parts a, b, and c, assess the performance of the Fios’s portfolio during the year just ended.


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  • CreatedApril 28, 2015
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