Question: Consider the following data for a particular sample period Portfolio P (Superannuation-Fund) Portfolio M (Market Portfolio) Average return 35% 28% Beta 1.20 1.00 Standard Deviation

Consider the following data for a particular sample period Portfolio P (Superannuation-Fund) Portfolio M (Market Portfolio) Average return 35% 28% Beta 1.20 1.00 Standard Deviation 42% 30% Non-systematic risk s(e) 18% 0 The T-bill rate was 6% during this period. Required: a. Calculate the following performance measures for portfolio P and market portfolio M: Sharp ratio, Jensen measure, Treynor measure and information ratio. Indicate the measures that show portfolio P outperform or underperform the market. (6 marks) b. Calculate M2 and show if the portfolio P outperformance the market based on this measure? (5 Marks)

Step by Step Solution

There are 3 Steps involved in it

1 Expert Approved Answer

Step: 1 Unlock blur-text-image

Question Has Been Solved by an Expert!

Get step-by-step solutions from verified subject matter experts

Step: 2 Unlock

Step: 3 Unlock

Students Have Also Explored These Related Finance Questions!

Alpha Mann Ltd makes and sells computer carry bags. Bill Blake, the company accountant, is responsible for preparing the company's annual budget. In compiling the budget data for next year, Blake has...

Hey, what would be the best way to answer Part B? 15. Consider the following data for a particular sample period: Market portfolio M Portfolio A 13% 10% Mean return 1.2 1.00 Beta 30% 20% Standard...

6. Consider the following data for a particular sample period Portfolio P 35% 1.2 42% Market M 28% 1.0 30% Average return Beta Standard deviation Non-systematic risk 18% Calculate the following...

Consider the following data for a particular sample period when returns were high:Portfolio P Market Portfolio Average Return 3 2 % 2 8 % Beta 1 . 3 1 . 0 Standard Deviation 4 0 % 3 0 % Calculate...

Consider the following data for a particular sample period: Portfolio P Market M Average return 0.30 0.22 Beta 1.3 1 Standard deviation 0.48 0.28 Tracking error, (e) 0.21 0.00 T-bill rate 0.05 Which...

Consider the following data for a particular sample period when returns were high. Portfolio P - Average return 35%, beta 1.2 and standard deviation 42% Market M - average return 28%, beta 1.0 and...

risk free rate =8% Consider the following data for a particular sample period when returns were high. Portfolio P - Average return 35%, beta 1.2 and standard deviation 42% Market M - average return...

Consider the following data for a particular sample period when returns were high. Portfolio P - Average return 35%, beta 1.2 and standard deviation 42% Market M - average return 28%, beta 1.0 and...

Multiple Choice Questions 1. Which of the following is not a component of stockholders equity? a. Loss on sale of equipment b. Dividends payable c. Retained earnings d. Net income 2. Which of the...

Which of these scientific questions would you use genomic approaches to address, and which would you address by investigating a single gene or protein? Explain your answers. How does a particular...

Explain why I want an A in this writing class. Here is an example of how this might look: After reviewing the labor - based agreement, I have decided to accept the terms associated with earning the...

Shaun and Troy are married and file a joint return. In 2020, Troy pays $6000 of interest, made of $4000 on his student loans and $2000 on his car loan. Shaun & Troys modified AGI for 2020 is...

A performance metric selected for division reporting should a. Applicable to able wide range investments. b. Be easy to use in the comparing divisions relative to competitors. c. Enable effective...

Which of the following is not a key task new venture governance within a corporation. a. Us the separate rescore allocation mechanism. b. Building new coordination and the control mechanism. c....

A horizontally integrated industry is one in which. a. Country specific advantage and firm specific advantages are both high. b. Country specific advantage is low and firm specific advantages is low....

Mary Marks had the following transactions or involuntary conversions during 2019: -Her diamond gemstones costing $4,000.00 in 2012 were sold for $5,000.00. -Her office building owned for four years...

Who is known as the Father of American Football? Marshall "Major" Taylor Walter Camp Vince Lombardi George Halas

Is the style consistent?

Does your strategic intent play to your strengths?

Can you find a way to avoid confirmation bias as you analyse the data?