3.Consider the two (excess return) index-model and regression results for PLDT and GLO. The risk free rate over the period was 6% and the markets average return was 14%. Performance is measured using an index model regression on excess returns.

a.Calculate the following statistics for each stock

i.Jensens alpha. ii.Sharpe measure. iii.Treynor measure. b.Which stock is the best choice? Explain.

Statistics PPREF GLO Index model regression estimates 11% + 1.2 (rm-7) 2% + 0.8mm) Coefficient of Determination (R, goodness of fit) 0.576 0.436 Residual standard deviation 10.3% 19.1% Standard deviation of excess returns 21.6% 24.9%