Question: . Consider the following data for a particular sample period when returns were high: Portfolio P, Market M repectively Average return 35% , 28% Beta

. Consider the following data for a particular sample period when returns were high:

Portfolio P, Market M repectively

Average return 35% , 28%

Beta 1.3 ,1.0

Standard deviation 42% , 30%

a) The T-bill rate during the period was 6%. Calculate alpha, Sharpe ratio, and the Treynor ratio. By which measure did portfolio P outperform the market?

b) If you want to invest your entire wealth in one of the two portfolios, which one would you choose?

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