Question: 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%

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 standard deviation 30%

 

Required

A. Calculate Jensen Alpha, Sharpe ratio and Treynor measures.

B. By which measure did portfolio P outperform the market.

C. By the result of the Jensen alpha would you consider the portfolio manager to be a passive or an active manager? Discuss?

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