Given the following data, answer questions 1 to 3 below:

1. What is the Treynor measure for portfolios AB and EF respectively? *

a. 10.00%; 13.75%

b. 13.57%; 8.57%

c. 58.33%; 54.29%

d. 40.00%; 58.33%

e. None of the above

2. Which of the following statements is INCORRECT? *

a. Modigliani squared of AB and CD respectively are equal to 0.86% and -2%, while the Jensen alphas measure of EF and AB respectively are equal to 1% and 5%.

b. Jensen alphas measure of AB and CD respectively are equal to 5% and 1%, while Modigliani squared of EF and CD respectively are equal to 1.67% and -2%.

c. Modigliani squared of CD and AB respectively are equal to -2% and 0.86%, while the Jensen alphas measure of EF and AB respectively are equal to 1% and 5%.

d. Jensen alphas measure of EF and CD are similar and equal to 1%, while Modigliani squared of AB and EF respectively are equal to 0.86% and -2%.

e. None of the above

3. If these portfolios are subcomponents that make up part of a well-diversified portfolio, then portfolio ______ is preferred. *

a. AB

b. CD

c. EF

d. S&P 500

e. All of the above

Given the following data, answer questions 1 to 3 below:

1. What is the Treynor measure for portfolios AB and EF respectively? *

5 points

a. 10.00%; 13.75%

b. 13.57%; 8.57%

c. 58.33%; 54.29%

d. 40.00%; 58.33%

e. None of the above

2. Which of the following statements is INCORRECT? *

7 points

a. Modigliani squared of AB and CD respectively are equal to 0.86% and -2%, while the Jensen alphas measure of EF and AB respectively are equal to 1% and 5%.

b. Jensen alphas measure of AB and CD respectively are equal to 5% and 1%, while Modigliani squared of EF and CD respectively are equal to 1.67% and -2%.

c. Modigliani squared of CD and AB respectively are equal to -2% and 0.86%, while the Jensen alphas measure of EF and AB respectively are equal to 1% and 5%.

d. Jensen alphas measure of EF and CD are similar and equal to 1%, while Modigliani squared of AB and EF respectively are equal to 0.86% and -2%.

e. None of the above

3. If these portfolios are subcomponents that make up part of a well-diversified portfolio, then portfolio ______ is preferred. *

4 points

a. AB

b. CD

c. EF

d. S&P 500

e. All of the above

Average Fund Standard deviation Beta return 25% AB 35% 1.4 CD 18% 30% 1.1 EF 20% 24% 1.3 S&P500 16% 20% 1 Risk-free 6% Average Fund Standard deviation Beta return 25% AB 35% 1.4 CD 18% 30% 1.1 EF 20% 24% 1.3 S&P500 16% 20% 1 Risk-free 6%