Question: Consider the following data for a particular sample period when returns were high. Portfolio A Market M Average return 35% 28% Beta 1.2 1 Standard

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

Portfolio A

Market M

Average return

35%

28%

Beta

1.2

1

Standard deviation

42%

30%

Required

Calculate the three performance measures (sharpe, Jensen or alpha, and Treyners ratios) for portfolio A and the market. The Treasury bill rate during the period was 6%. By which measures did portfolio A outperform the market? [9 marks]

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