Question: E10 x v fx A B C D E F G H K M N Performance Measures Risk-free rate 1% Market Return 12% NKU Portfolio

E10 x v fx A B C D E F G H K M N Performance Measures Risk-free rate 1% Market Return 12% NKU Portfolio Ohio Portfolio Beta 1.72 0.97 1.14 1.39 0.69 0.39 8 Weight 25% 30%% 15% 40% 35%% 25% 9 Year AMZN DAL JPM Portfolio LOW MCD Portfolio 10 2008 44.65%% -23.04% 27.77% 30.57% 4.86% 5.57%% 15.80% -3.95% 11 2009 162.32% 0.70% 32.16% 54.84% 8.69% D.40% 1.92% 3.14% 12 2010 33.81% 10.72% 1.80%% 12.48% 7.23%% 22.93%% 6.10% 12.44% 13 2011 -3.83% -35.79% -21.62% 21.42% 1.20% 30.71% 3.70% 12.15% 14 2012 44.93% 46.72%% 32.24% 39.76% 39.95% 12.08% 1.77% 12.20% 15 2013 58.96% 131.42% 33.00% 69.02% 39.50% 10.00%% 19.91% 24.28%% 16 2014 -22.18% 79.07% 7.01%% 21.33% 38.85% 3.43% 11.89 17.31% 17 2015 117.78% 3.05% 5.51% 32.84% 10.52% 26.08% -12.82% 10.13% 18 2016 10.95% -2.96% 30.68% 15.66% -6.47% 3.03% 5.88% -0.06% 19 2017 55.96% 13.84% 23.93% 28.91% 30.68% 41.41% 9.28% 29.08% 20 21 Portfolio Return 22.28%% 11.67% 22 Portfolio Variance D.0855 0.0095 23 Portfolio STD 29.24% 9.76% 24 Portfolio Beta 1.23 0.90 25 Portfolio Expected Rate of Return 14.57%% 10.85%% 26 27 28 1. Please Calculate the Sharpe Ratio of the NKU Portfolio 0.7279 29 2. Please Calculate the Sharpe Ratio of the Ohio Portfolio 1.0940 30 3. Please Calculate the Treynor Ratio of the NKU Portfolio 0.1725 31 4. Please Calculate the Treynor Ratio of the Ohio Portfolio 0.1192 32 5. Please Calculate the Jensen's alpha of the NKU Portfolio 7.71% 33 5. Please Calculate the Jensen's alpha of the Ohio Portfolio 0.83%% 34 35 36 37 38

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