A portfolio has a variance of .0221, a beta of 1.13, and a return of 12.95 percent. The Canadian T-bill is yielding 2.6 percent while the S&P/TSX is returning 12.80 percent.

a.Calculate the Sharpe ratio.Round final answer to three decimals. 

b.Calculate the Treynorratio.Round final answer to three decimals. 

c. Calculate the Jensen's alpha.Round final answer to four decimals. 

d. Based on the alpha value in part c, does the portfolio plot above, below, or on the Security Market Line? 

e. What does it mean if this portfolio has an R-squared value of 0.57? 

Answer rating: 100% (QA)

a The Sharpe ratio is calculated by subtracting the riskfree rate of return Canadian Tbill yield fro... View the full answer