Chapter 13: Performance evaluation and risk management 1) This unit considered three risk-adjusted measures of portfolio performance-Jensen's alpha, the Treynor index, and the Sharpe ratio. Of these, two are tied to the CAPM in their simplest form. Which ones are those? Briefly explain your answer. 2) of the two risk-adjusted measures of performance that are tied to the CAPM in its simple form, which can be liberated from the CAPM? How can this be done? 3) Suppose you wish to measure the risk-adjusted performance of an actively managed small cap portfolio. Why can't you use the S&P 500 as your benchmark? What could you use instead? 4) You are given the following information concerning three managed portfolios, the market portfolio, and the risk-free asset: Portfolio Be Y R 0.170 0.130 0.06 0.070 0.005 op 0.380 0.230 0.170 0.150 0.000 Z Market Risk-free 1.500 1.100 0.800 1.000 0.000 What is the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio (including the market portfolio)? Chapter 13: Performance evaluation and risk management 1) This unit considered three risk-adjusted measures of portfolio performance-Jensen's alpha, the Treynor index, and the Sharpe ratio. Of these, two are tied to the CAPM in their simplest form. Which ones are those? Briefly explain your answer. 2) of the two risk-adjusted measures of performance that are tied to the CAPM in its simple form, which can be liberated from the CAPM? How can this be done? 3) Suppose you wish to measure the risk-adjusted performance of an actively managed small cap portfolio. Why can't you use the S&P 500 as your benchmark? What could you use instead? 4) You are given the following information concerning three managed portfolios, the market portfolio, and the risk-free asset: Portfolio Be Y R 0.170 0.130 0.06 0.070 0.005 op 0.380 0.230 0.170 0.150 0.000 Z Market Risk-free 1.500 1.100 0.800 1.000 0.000 What is the Sharpe ratio, Treynor ratio, and Jensen's alpha for each portfolio (including the market portfolio)