Problem 2 Long Only Suppose you cannot short sell and can only invest in the long portfolio of each strategy. a) Calculate the Sharpe measure and Jensen measure for S, H, and U. Do the strategies outperform the market portfolio according to these measures? b) Calculate the correlation between the market portfolio, S, H, and U. Calculate the correlation for all possible pairs and report the answers in a table like this: AutoSave O M A P . C ... HW2_Excel Q Search (Cmd + Ctrl + U) Home Insert Draw Page Layout Formulas Data Review View Comments Share Calibri (Body) v 11 AA = = Wrap Text v General Insert v Ex Delete V v Z AP - O. Paste BIUV DVAv EE Merge & Center v 5 % 9 00 20 Conditional Format Cell Sort & Find & Add-ins Analyze Formatting as Table Styles Format v Filter Select Data A102 V fx A B D G H K L M Q R S U W 1 Annual Returns on Market, HML, SMB, UMD, and each component portfolio Based on Book Value-to-Market Value Based on Market Capitalization Based on past year performance (t-2 to t-12 months) High (Value) Low (Growth) High-Low Small Big Small-Big Up Down p-Down Year Market Riskfree HMI SMB UMD 1927 32.59% 3.12% 34.47% 37.87% 3.40% 30.94% 33.77%% 2.83% 38.27% 15.39% 22.88% 1928 38.95% 3.56% 37.54% 43.71% -6.17% 41.40% 36.89% 4.51% 50.31% 22.81% 27.51% 1929 -14.79% 4.75% -20.37% -32.02% 11.65% -38.24% -7.55% -30.69% 21.15% -42.41% 21.27% 1930 28.82% 2.41% 43.79% -32.03% -11.76% 37.93% -32.59% -5.34% -23.19% 49.61% 26.42% 1931 44.04% 1.07% 54.39% 39.83% -14.56% 47.29% 50.93% 3.64% -35.33% 59.61% 24.289 10 1932 -8.43% 0.96% 2.05% -8.79% 10.83% -4.84% -9.40% 4.56% -14.08% 5.44% -19.52% 11 1933 57.35% 0.30% 125.77% 93.38% 32.39% 129.76% 84.30% 45.46% 109.53% 90.01% 19.53% 12 1934 3.18% 0.16% 4.12% 23.84% -27.96% 21.71% -3.89% 25.60% 21.12% 2.97% 18.15% 13 1935 45.13% 0.17% 51.94% 13.20% 8.74% 57.97% 47.06% 10.91% 58.88% 47.71% 21.18% 14 1936 32.25% 0.18% 54.85% 30.01% 34.83% 54.92% 36.94% 17.97% 45.90% 39.45% 6.46% 15 193 -34.65% 0.31% -46.00% 41.91% -4.09% 49.72% -35.58% 14.14% -44.23% -41.61% -2.62% 16 1938 28.46% -0.02% 26.88% 38.93% -12.05% 27.80% 9.29% 31.53% 0.55% 17 1939 2.72% 0.02% -9.34% 9.64% -18.98% 2.97% -2.80% 5.77% 3.15% 2.50% 0.65% 18 1940 -7.14% 0.00% 8.27% -6.67% -1.60% -5.25% -6.44% 1.18% 3.67% 47 5.80% 19 1941 -10.47% 0.06% -3.51% 14.64% 11.13% -11.15% -7.11% 4.04% 4.01% 13.28% 9.28% 20 194 16.47% 0.27% 35.61% 15.64% 19.96% 26.61% 21.53% 5.09% 16.94% 31.989 -15.05% 21 1943 28.31% 0.35% 70.47% 32.00% 38.47% 65.23% 31.94% 33.29% 55.63% 41.89 13.749 22 1944 21.30% 0.33% 44.14% 27.68% 16.46% 43.48% 25.95% 17.53% 1.21% 31.01% 10.21% 23 1945 38.71% 0.33% 59.25% 48.36% 10.88% $5.45% 40.31% 25.14% 64.31% 50.07% 14.24% 24 1946 6.38% 0.35% 7.77% 10.88% 3.11% -9.95% 5.96% -3.99% 7.63% -12.53% 4.91% 25 194 3.45% 0.50% 7.47% 2.40% 9.87% -1.54% 5.45% 6.99% 6.93% 7.40% 14.32% 26 1948 1.88% 0.81% 1.22% -2.52% 3.74% -5.92% 3.19% -9.11% 4.16% -8.19% 12.34% 27 1949 20.22% 1.10% 19.65% 23.89% -4.24% 22.83% 19.08% 3.75% 23.33% 22.88% 0.45% 28 1950 30.02% 1.20% 54.19 27.15% 27.04% 38.14% 37.01% 1.13% 13.63% 28.07% 15.57% 29 1951 20.71% 1.49% 13.26% 18.93% 5.67% 14.71% 19.93% 5.22% 24.04% 12.56% 1.48% 30 1952 3.46% 1.66% 13.84% 10.53% 3.31% 8.59% 15.35% -6.76% 15.03% 6.01% 9.02% 31 1953 0.77% 1.82% -6.51% 1.23% -7.73% -2.52% -1.35% -1.16% 5.49% -10.85% 16.33% 32 1954 50.21% 0.86% 70.99% 44.95% 26.04% 55.86% 57.92% -2.06% 59.49% 48.98% 10.52% 33 1955 25.32% 1.57% 26.86% 21.96% 4.90% 20.02% 25.93% -5.91% 29.31% 15.36% 13.96% 34 1956 3.36% 2.46% 5.00% 6.84% 1.84% 6.87% 7.76% -0.90% 16.84% -2.46% 19.30% 35 195 -10.02% 3.14% -19.26% -13.08% -6.18% -16.05% -13.35% -2.70% -11.29% -21.12% 9.84% 36 1958 44.99% 1.54% 72.22% 58.74% 13.48% 68.00% 53.49% 14.51% 52.53% 62.41% -9.89% 37 1959 12.71% 2.95% :.24% 16.47% 1.78% 19.39% 13.93% 5.46% 24.39% 5.21% 19.18% 38 1960 1.20% 2.66% 6.97% -2.43% 4.55% -3.13% -0.41% 2.72% 7.40% -10.08% 17.48% 39 196 26.94% 2.13% 30.55% 25.41% 5.14% 28.95% 27.44% 1.51% 33.19% 22.78% 10.41% 40 196 -10.17% 2.73% -6.25% -15.27% 9.02% -15.01% -6.67% 8.34% -9.32% -21.26% 11.95% 41 1963 20.96% 3.12% 30.45% 15.00% 15.45% 17.84% 23.90% -6.06% 25.09% 13.47% 11.63% 42 1964 16.08% 3.54% 21.11% 11.46% 9.65% 16.94% 17.70% -0.76% 19.10% 14.38% 4.72% 43 1965 14.45% 3.93% 31.88% 24.93% 6.95% 36.92% 14.88% 22.05% 38.72% 18.28% 20.44% 1066 1 760 1 77 020/ 1 1 10 /