Question: Consider the following data for a particular sample period when returns were high: Portfolio P Market Portfolio Average Return 32% 28% Beta 1.3 1.0 Standard

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

Portfolio P Market Portfolio

Average Return 32% 28%

Beta 1.3 1.0

Standard Deviation 40% 30%

Calculate Jensens Alpha, the Sharpe ratio and Treynors ratio for both portfolio P and the Market. The T-bill rate during this period was 5%. By which measures did portfolio P outperform the market?

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