Q2 (Performance Evaluation) Fill in the blank rows in the table below for (a) Average excess return, defined as portfolio return in excess of risk-free rate; (b) Alpha, defined below; (c) Sharpe ratio, defined below; (d) Treynor measure, defined below; and (e) Information ratio, defined below, for portfolios P and Q. (Provide your answers in the following table. Make sure to show your calculations in the space below in order to earn potential partial credits.) The following definitions/formula may be useful for questions in this part. CAPM: Excess portfolio return equals Beta multiplies benchmark excess return plus Alpha E(Rp - Rj) = BpE (RMt - Rj) + ap Sharpe Ratio Treynor Measure Reward-to-volatility ratio, excess return to standard deviation Information Ratio Ratio of portfolio excess return to beta 3 Ratio of alpha to standard deviation of diversifiable risk Average return Standard deviation (%) Residual SD (%) Beta Average excess return Alpha Sharpe ratio Treynor measure Information ratio Portfolio P Portfolio Q Benchmark Cash 13.6 4 24.1 6.79 1.25 9.5 18.0 15.44 0.50 10.4 18.5 0 1.0 6.4 0 0.35 6.4 0 0 0 0 0 0 0

Q2 (Performance Evaluation) Fill in the blank rows in the table below for (a) Average excess return, defined as portfolio return in excess of risk-free rate; (b) Alpha, defined below; (c) Sharpe ratio, defined below; (d) Treynor measure, defined below; and (e) Information ratio, defined below, for portfolios P and Q. (Provide your answers in the following table. Make sure to show your calculations in the space below in onder to earn potential partial credits.) The following definitions/formula may be useful for questions in this part. - CAPM: Excess portfolio return equals Beta multiplies benchmark excess return plas Alpha E(RPRf)=FE(RMtRf)+P - Sharpe Ratio - Reward-to-volatility ratio, excess return to standard deviation - Tresuor Measure 3 - Ratio of portfolio excess return to beta - Information Ratio - Ratio of alpha to standard deviation of diversifiable risk