1. Compare the following Actively Managed Equity Portfolios (A, B, & C) to the Market Portfolio (S&P 500). For each portfolio (A, B, C, & the Market Portfolio) Calculate 1) Treynor’s Ratio, 2) Sharpe’s Alpha and 3) Jensen’s Alpha. Using the calculated statistics determine which portfolio offers the most favorable risk adjusted results. Justify your choice. The Risk Free Rate of Return is 3%.

Portfolio, Annual Return , Beta , Standard Deviation of Returns

S&P =10% (.10), ? , 0.278

A = 10% (.10), 0.9 , 0.11

B =14% (.14) , 1.03, 0.250

C =15% (.15), 1.20 , 0.325

Answer rating: 100% (QA)

1 Treynor Ratio Portfolio A Portfolio return Risk free rate Beta 10 03 09 7 09 778 Portfolio B Portf... View the full answer