Question: Portfolio P Market M Average Return 35% 28% Beta 1.2 1.0 Standard Deviation 42% 30% Calculate alpha, the Sharpe ratio, and the Treynor measure for

Portfolio P Market M

Average Return 35% 28%

Beta 1.2 1.0

Standard Deviation 42% 30%

Calculate alpha, the Sharpe ratio, and the Treynor measure for Portfolio P and the market. The T-bill rate during the period was 6%. By which measures did the Portfolio P outperform the market?

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